Computing the extremal index of special Markov chains and queues

DOI10.1016/S0304-4149(96)00111-1MaRDI QIDQ1382480zbMATH OpenFDO

Authors Ludolf E. Meester, Gerard Hooghiemstra

Publication date 29 March 1998

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0304-4149(96)00111-1

zbMATH Keywords

ARCH processextremal indexextremal valuesG/G/n queueMarkov chain

Mathematics Subject Classification ID

Limit theorems in probability theory (60F99) Extreme value theory; extremal stochastic processes (60G70) Queueing theory (aspects of probability theory) (60K25)

Review text

The paper contributes to the asymptotic of the extremal value distribution. The authors consider the maximum \(M_k=\max \{X_1,X_2,\dots ,X_k\}\) of the stationary Markov chain \(\{X_k\}_{k\in N}\) and take care of the extremal index, i.e. the number \(\theta _1\in [0,1]\) fulfilling \([P(M_n\leq u_n)-F(u_n)^{n\theta _1}]\to 0\) if \(n\to +\infty \) and \(n(1-F(u_n))\to \tau >0\), where \(F\) denotes the stationary distribution of the considered Markov chain. The paper presents assumptions under which the extremal index exists and admits an expression based on a random walk distribution.

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Cited in

(12)

• The extremal index of a higher-order stationary Markov chain
• Extremal behavior of the autoregressive process with ARCH(1) errors
• Quenched phantom distribution functions for Markov chains
• On regenerative estimation of extremal index in queueing systems
• ON EXTREMAL INDICES FOR SOME MARKOV CHAINS INDUCED BY MCMC ALGORITHMS
• The extremal index for a Markov chain
• The extremal index in 10 seconds
• On the extremal index for the M/M/s queue
• A new dependence condition for time series and the extremal index of higher-order Markov chains
• Extreme Value Theory as a Risk Management Tool
• Extreme values statistics for Markov chains via the (pseudo-) regenerative method
• On maxima of stationary delay in the \({M/G/2}\) systems

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