The extremal index of a higher-order stationary Markov chain (Q1296740)
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scientific article; zbMATH DE number 1319922
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| English | The extremal index of a higher-order stationary Markov chain |
scientific article; zbMATH DE number 1319922 |
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The extremal index of a higher-order stationary Markov chain (English)
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23 November 1999
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The author presents a method of computing the so-called extremal index [see \textit{R. M. Loynes}, Ann. Math. Stat. 36, 993-999 (1965; Zbl 0178.53201)] of a real-valued \(k\)th order, \(k\geq 1\), stationary Markov chain. The method is based on the assumption that the joint distribution of \(k+1\) consecutive variables is in the domain of attraction of some multivariate extreme value distribution. Four examples illustrate how the method works.
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