Extremes of Markov sequences

DOI10.1016/0378-3758(94)00070-0MaRDI QIDQ1890877zbMATH OpenOpenAlexFDO

Authors George Haiman, Maxime Kiki, Madan L. Puri

Publication date 14 November 1995

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-3758(94)00070-0

zbMATH Keywords

asymptotic independencestationary Markov sequenceuniformly bounded transition

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Review text

For a stationary Markov sequence \(X_j\), \(j \geq 0\), with transition density \(f(x,y)\), the authors estimate the maximum over \(u_n \leq z \leq \omega\) of \(|P (\max (X_0, X_1, \ldots, X_n) < z) - P^{n + 1} (X_0 < z) |\), where \(\omega = \sup \{u : P(X_0 < u) < 1\}\) and \(u_n\) is defined by \(P(X_0 > u_n) = 1/n\), and \(f(x,y)\) is assumed to satisfy a uniform boundedness property in \(x\). In some particular cases, the estimate is shown to be of the magnitude \((\log n)^{3/2}/n^{1/2}\).

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Cites work

• An asymptotic independent representation in limit theorems for maxima of nonstationary random sequences
• Extreme values for stationary and Markov sequences
• High-Level exceedances of regenerative and semi-stationary processes
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• scientific article; zbMATH DE number 3753778 (Why is no real title available?)
• scientific article; zbMATH DE number 193528 (Why is no real title available?)
• Maxima and exceedances of stationary Markov chains
• The extremal index for a Markov chain

Cited in

(5)

• Extreme values for stationary and Markov sequences
• Maximum length of a series in a Markovian binary sequence with an application to the description of a basketball game
• An extremal markovian sequence
• scientific article; zbMATH DE number 1047997 (Why is no real title available?)
• Extreme values statistics for Markov chains via the (pseudo-) regenerative method

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