Modelling extremes of time-dependent data by Markov-switching structures

DOI10.1016/J.JSPI.2008.08.022MaRDI QIDQ1011533zbMATH OpenOpenAlexFDO

Authors Péter Elek, A. Zempléni

Publication date 8 April 2009

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

Full work available at URL https://doi.org/10.1016/j.jspi.2008.08.022

zbMATH Keywords

extreme value theoryMarkov chainsMarkov-switching modelsflood risk assessmentextremal clusters

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Applications of statistics to environmental and related topics (62P12)

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Cites work

• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 469373 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• A sufficiency property arising from the characterization of extremes of Markov chains
• A two-state regime switching autoregressive model with an application to river flow analysis
• An introduction to statistical modeling of extreme values
• Asymptotic location and recurrence properties of maxima of a sequence of random variables defined on a Markov chain
• Autoregressive conditional heteroskedasticity and changes in regime
• Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator
• Extremal behaviour of stationary Markov chains with applications
• Inference for Clusters of Extreme Values
• Limit laws for the maxima of chain-dependent sequences with positive extremal index
• Markov chain models for threshold exceedances
• Models for the extremes of Markov chains
• Subsampling techniques and the jackknife methodology in the estimation of the extremal index
• Tail behaviour and extremes of two-state Markov-switching autoregressive models
• The distributions of cluster functionals of extreme events in a dth-order Markov chain
• The extremal index for a Markov chain

Cited in

(8)

• scientific article; zbMATH DE number 7219016 (Why is no real title available?)
• A two-state regime switching autoregressive model with an application to river flow analysis
• Modelling dependence uncertainty in the extremes of Markov chain
• A Markov-switching model for heat waves
• Time-varying extreme pattern with dynamic models
• Extremes of Markov Chains with Tail Switching Potential
• Moving-maximum models for extrema of time series
• Tail behaviour and extremes of two-state Markov-switching autoregressive models

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Uses Software

• ismev

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