The extremal index of a higher-order stationary Markov chain

DOI10.1214/aoap/1028903534zbMath0942.60038OpenAlexW2094151275MaRDI QIDQ1296740

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

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

Related Items (12)

Clustering of Markov chain exceedances ⋮ Extremes of Markov random fields on block graphs: max-stable limits and structured Hüsler-Reiss distributions ⋮ Estimation of extreme values by the average conditional exceedance rate method ⋮ Inference on extremal dependence in the domain of attraction of a structured Hüsler-Reiss distribution motivated by a Markov tree with latent variables ⋮ Extremal indices, geometric ergodicity of Markov chains and MCMC ⋮ Asymptotics of Markov Kernels and the Tail Chain ⋮ Measuring the extremal dependence ⋮ Regularly varying multivariate time series ⋮ Functionals of clusters of extremes ⋮ Extreme events of Markov chains ⋮ Markov tail chains ⋮ Approximate distributions of clusters of extremes

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