Extreme values for stationary and Markov sequences
From MaRDI portal
Publication:1089669
DOI10.1214/aop/1176992270zbMath0619.60025OpenAlexW1983161968WikidataQ105584334 ScholiaQ105584334MaRDI QIDQ1089669
Publication date: 1987
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1176992270
function of a positive Harris Markov sequencegrowth-rate conditionsmaxima of strictly stationary sequences
Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) Stationary stochastic processes (60G10) Discrete-time Markov processes on general state spaces (60J05)
Related Items
On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures ⋮ On some estimates based on sample behavior near high level excursions ⋮ Extremal behavior of the autoregressive process with ARCH(1) errors ⋮ Improving financial risk assessment through dependency ⋮ The multivariate extremal index and the dependence structure of a multivariate extreme value distribution ⋮ Rare events for stationary processes. ⋮ Extremal clustering in non-stationary random sequences ⋮ Extremes and clustering of nonstationary max-AR(1) sequences ⋮ Extremes of Markov sequences ⋮ Quenched phantom distribution functions for Markov chains ⋮ Adaptive Choice and Resampling Techniques in Extremal Index Estimation ⋮ A large deviations approach to limit theory for heavy-tailed time series ⋮ On the characterization of certain point processes ⋮ Asymptotic distributions for the intervals estimators of the extremal index and the cluster-size probabilities ⋮ High level exceedances in stationary sequences with extremal index ⋮ Clustering of upcrossings of high values ⋮ Estimation and inference about tail features with tail censored data ⋮ Asymptotics of the order statistics for a process with a regenerative structure ⋮ Computing the extremal index of special Markov chains and queues ⋮ Joint behavior of point processes of clusters and partial sums for stationary bivariate Gaussian triangular arrays ⋮ Maxima of a triangular array of multivariate Gaussian sequence ⋮ Phantom distribution functions for some stationary sequences ⋮ Extreme values statistics for Markov chains via the (pseudo-) regenerative method ⋮ Some variations on the extremal index ⋮ Method of moments estimators for the extremal index of a stationary time series ⋮ Diagnostic Testing of Finite Moment Conditions for the Consistency and Root-N Asymptotic Normality of the GMM and M Estimators ⋮ Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend ⋮ The extremal index for GARCH(1,1) processes ⋮ The asymptotic distribution of the maxima of a Gaussian random field on a lattice ⋮ A sliding blocks estimator for the extremal index ⋮ Relative extremal index of two stationary processes ⋮ Dynamical counterexamples regarding the extremal index and the mean of the limiting cluster size distribution ⋮ The distribution of the maximum of a first order moving average: the continuous case ⋮ Modeling clusters of extreme values ⋮ Extremal indices, geometric ergodicity of Markov chains and MCMC ⋮ Impossibility of consistent estimation of the distribution function of a sample maximum ⋮ Editorial: Special issue on time series extremes ⋮ Bayesian uncertainty management in temporal dependence of extremes ⋮ Subsampling weakly dependent time series and application to extremes ⋮ Minimal conditions in \(p\)-stable limit theorems ⋮ Weak convergence of a pseudo maximum likelihood estimator for the extremal index ⋮ Another approach to Brownian motion ⋮ The extremal index, hitting time statistics and periodicity ⋮ The upcrossings index and the extremal index ⋮ Convergence to Lévy stable processes under some weak dependence conditions ⋮ Modeling rare events through a \(p\)RARMAX process ⋮ Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures ⋮ On maxima of stationary fields ⋮ Inference for the limiting cluster size distribution of extreme values ⋮ Directional phantom distribution functions for stationary random fields ⋮ Asymptotics for sliding blocks estimators of rare events ⋮ Asymptotic \((r-1)\)-dependent representation for \(r\)th order statistic from a stationary sequence ⋮ On the max-semistable limit of maxima of stationary sequences with missing values ⋮ \(\alpha\)-stable limit theorems for sums of dependent random vectors ⋮ Stationary self-similar extremal processes ⋮ On a loss of memory property of the maximum ⋮ Functionals of clusters of extremes ⋮ Managing local dependencies in asymptotic theory for maxima of stationary random fields ⋮ Estimating tail decay for stationary sequences via extreme values ⋮ Almost sure relative stability of the maximum of a stationary sequence ⋮ Extreme events of Markov chains ⋮ A Note on the Extremal Index for Space-Time Processes ⋮ Modeling extreme events: sample fraction adaptive choice in parameter estimation ⋮ Extremes of stationary random fields on a lattice ⋮ Rare events, temporal dependence, and the extremal index ⋮ Rare events for Cantor target sets ⋮ Clustering indices and decay of correlations in non-Markovian models ⋮ On the computation of the extremal index for time series ⋮ The extremal index of a higher-order stationary Markov chain ⋮ On blocks and runs estimators of the extremal index ⋮ Extremes of Homogeneous Gaussian Random Fields ⋮ Approximate distributions of clusters of extremes ⋮ Bootstrap and Other Resampling Methodologies in Statistics of Extremes ⋮ Rare events for product fractal sets * ⋮ Functional weak convergence of partial maxima processes ⋮ Erratum to: ``Modeling clusters of extreme values