The extremal index of a higher-order stationary Markov chain

DOI10.1214/AOAP/1028903534zbMATH Open0942.60038OpenAlexW2094151275MaRDI QIDQ1296740FDOQ1296740

Seokhoon Yun

Publication date: 23 November 1999

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1028903534

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10) Discrete-time Markov processes on general state spaces (60J05)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Modelling multivariate extreme value distributions
• Extremes and related properties of random sequences and processes
• On the characterization of certain point processes
• Statistical inference using extreme order statistics
• Estimating the parameters of rare events
• Extreme values for stationary and Markov sequences
• Extremal index estimation for a weakly dependent stationary sequence
• Extremal behaviour of stationary Markov chains with applications
• On the multivariate extremal index
• Markov chain models for threshold exceedances
• Extremes and local dependence in stationary sequences
• Estimating tails of probability distributions
• General Irreducible Markov Chains and Non-Negative Operators
• A limit theorem for the maximum of autoregressive processes with uniform marginal distributions
• Bivariate extreme value theory: Models and estimation
• On extreme values in stationary sequences
• On the estimation of the extreme-value index and large quantile estimation
• Limit Theorems for the Maximum Term in Stationary Sequences
• Extremes of moving averages of stable processes
• Extreme Values in Uniformly Mixing Stationary Stochastic Processes
• Maxima and exceedances of stationary Markov chains
• Extreme Value Theory for a Class of Markov Chains with Values in ℝ^d
• Domains of attraction of multivariate extreme value distributions
• The maximum term of uniformly mixing stationary processes

Cited In (15)

• Approximate distributions of clusters of extremes
• Extremal indices, geometric ergodicity of Markov chains and MCMC
• Regularly varying multivariate time series
• Extremes of Markov random fields on block graphs: max-stable limits and structured Hüsler-Reiss distributions
• The extremal index for a Markov chain
• Functionals of clusters of extremes
• Asymptotics of Markov Kernels and the Tail Chain
• Markov tail chains
• Estimation of extreme values by the average conditional exceedance rate method
• Extreme events of Markov chains
• Clustering of Markov chain exceedances
• ON EXTREMAL INDICES FOR SOME MARKOV CHAINS INDUCED BY MCMC ALGORITHMS
• Max-linear graphical models with heavy-tailed factors on trees of transitive tournaments
• Inference on extremal dependence in the domain of attraction of a structured Hüsler-Reiss distribution motivated by a Markov tree with latent variables
• Measuring the extremal dependence

This page was built for publication: The extremal index of a higher-order stationary Markov chain

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1296740)