Markov tail chains
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random walkstochastic difference equationextreme value distributionmultivariate regular variationtail chainmultivariate Markov chain
Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10) Discrete-time Markov processes on general state spaces (60J05) Random operators and equations (aspects of stochastic analysis) (60H25)
Abstract: The extremes of a univariate Markov chain with regulary varying stationary marginal distribution and asymptotically linear behavior are known to exhibit a multiplicative random walk structure called the tail chain. In this paper, we extend this fact to Markov chains with multivariate regularly varying marginal distribution in R^d. We analyze both the forward and the backward tail process and show that they mutually determine each other through a kind of adjoint relation. In a broader setting, it will be seen that even for non-Markovian underlying processes a Markovian forward tail chain always implies that the backward tail chain is Markovian as well. We analyze the resulting class of limiting processes in detail. Applications of the theory yield the asymptotic distribution of both the past and the future of univariate and multivariate stochastic difference equations conditioned on an extreme event.
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Cites work
- scientific article; zbMATH DE number 3975284 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
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Cited in
(26)- On aggregation of subcritical Galton-Watson branching processes with regularly varying immigration
- Statistical inference of subcritical strongly stationary Galton-Watson processes with regularly varying immigration
- Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model
- Markov Chains
- Limit theorems for branching processes with immigration in a random environment
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- Asymptotics of Markov kernels and the tail chain
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- Compound Poisson approximation for regularly varying fields with application to sequence alignment
- Statistics for tail processes of Markov chains
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- Temporal evolution of the extreme excursions of multivariate kth order Markov processes with application to oceanographic data
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- Cluster based inference for extremes of time series
- Max-linear graphical models with heavy-tailed factors on trees of transitive tournaments
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