The tail empirical process of regularly varying functions of geometrically ergodic Markov chains

DOI10.1016/j.spa.2018.11.014zbMath1448.60114arXiv1511.04903OpenAlexW2963283068WikidataQ114130812 ScholiaQ114130812MaRDI QIDQ2010476

Rafał Kulik, Olivier Wintenberger, Philippe Soulier

Publication date: 27 November 2019

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

Full work available at URL: https://arxiv.org/abs/1511.04903

zbMATH Keywords

ergodic Markov chainstail empirical processFoster-Lyapunov condition

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

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