Models for the extremes of Markov chains

DOI10.1093/BIOMET/85.4.851MaRDI QIDQ4236513zbMATH OpenOpenAlexFDO

Authors Paola Bortot, Jonathan A. Tawn

Publication date 29 June 1999

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/aece28baee79df37bb2379ee35f05aa964c1fe91

zbMATH Keywords

asymptotic independenceextremal indexMarkov chain

Mathematics Subject Classification ID

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

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Cited in

(24)

• Modelling extremes of time-dependent data by Markov-switching structures
• \(k\)th-order Markov extremal models for assessing heatwave risks
• Extreme value distributions for two kinds of path sums of Markov chain
• On tail dependence: a characterization for first-order max-autoregressive processes
• Modelling dependence uncertainty in the extremes of Markov chain
• The distribution of extrema for risk processes on the finite Markov chain
• A latent process model for temporal extremes
• Improving financial risk assessment through dependency
• Latent process modelling of threshold exceedances in hourly rainfall series
• Anticipating Catastrophes through Extreme Value Modelling
• scientific article; zbMATH DE number 4143203 (Why is no real title available?)
• A new class of models for bivariate joint tails
• Markov chain models for threshold exceedances
• Functionals of clusters of extremes
• Time-varying Markov models for binary temperature series in agrorisk management
• Asymptotics of Markov kernels and the tail chain
• Statistics for tail processes of Markov chains
• Asymptotic dependence of bivariate maxima
• Examples for the coefficient of tail dependence and the domain of attraction of a bivariate extreme value distribution
• Temporal evolution of the extreme excursions of multivariate kth order Markov processes with application to oceanographic data
• On the dependence of a minimum autoregressive exponential-type process
• Tail behaviour and extremes of two-state Markov-switching autoregressive models
• Limit theorems for empirical processes of cluster functionals
• Modeling rare events through a \(p\)RARMAX process

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