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

DOI10.1016/J.SPA.2018.11.014zbMATH Open1448.60114arXiv1511.04903OpenAlexW2963283068WikidataQ114130812 ScholiaQ114130812MaRDI QIDQ2010476FDOQ2010476

Authors: Rafał Kulik, Olivier Wintenberger, Philippe Soulier 

Publication date: 27 November 2019

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

Abstract: We consider a stationary regularly varying time series which can be expressedas a function of a geometrically ergodic Markov chain. We obtain practical conditionsfor the weak convergence of the tail array sums and feasible estimators ofcluster statistics. These conditions include the so-called geometric drift or Foster-Lyapunovcondition and can be easily checked for most usual time series models witha Markovian structure. We illustrate these conditions on several models and statisticalapplications. A counterexample is given to show a different limiting behaviorwhen the geometric drift condition is not fulfilled.

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

Recommendations

• The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains
• Statistics for tail processes of Markov chains
• Markov tail chains
• Weak convergence of the tail empirical process for dependent sequences
• scientific article; zbMATH DE number 1944037

zbMATH Keywords

tail empirical processFoster-Lyapunov conditionergodic Markov chains

Mathematics Subject Classification ID

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

Cites Work

• Weak convergence and empirical processes. With applications to statistics
• Markov Chains and Stochastic Stability
• Mathematical foundations of infinite-dimensional statistical models
• The extremal index for a Markov chain
• Title not available (Why is that?)
• Weak convergence of the tail empirical process for dependent sequences
• Weighted approximations of tail processes for \(\beta\)-mixing random variables.
• Title not available (Why is that?)
• Basic properties of strong mixing conditions. A survey and some open questions
• Limit theorems for empirical processes of cluster functionals
• Extreme quantile estimation for dependent data, with applications to finance
• Nonlinear time series. Theory, methods and applications with R examples
• Heavy-Tail Phenomena
• Stochastic-Process Limits
• Regularly varying multivariate time series
• The extremogram: a correlogram for extreme events
• The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains
• Tail probabilities for infinite series of regularly varying random vectors
• Precise large deviations for dependent regularly varying sequences
• On the Harris recurrence of iterated random Lipschitz functions and related convergence rate results
• Maxima and exceedances of stationary Markov chains
• Optimal rates of convergence for estimates of the extreme value index
• Markov tail chains
• On the distribution of tail array sums for strongly mixing stationary sequences
• Extremal indices, geometric ergodicity of Markov chains and MCMC
• Regular variation of order 1 nonlinear AR-ARCH models

Cited In (15)

• Asymptotic normality of the likelihood moment estimators for a stationary linear process with heavy-tailed innovations
• Empirical process theory for locally stationary processes
• The tail empirical process for long memory stochastic volatility models with leverage
• Statistical inference for heavy tailed series with extremal independence
• The tail process and tail measure of continuous time regularly varying stochastic processes
• Estimation of cluster functionals for regularly varying time series: runs estimators
• Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds
• Statistical analysis for stationary time series at extreme levels: new estimators for the limiting cluster size distribution
• On consistency of the likelihood moment estimators for a linear process with regularly varying innovations
• A sequential empirical CLT for multiple mixing processes with application to \(\mathcal{B}\)-geometrically ergodic Markov chains
• Bootstrapping Hill estimator and tail array sums for regularly varying time series
• Estimation of cluster functionals for regularly varying time series: sliding blocks estimators
• Tail asymptotics of free path lengths for the periodic Lorentz process: on Dettmann's geometric conjectures
• The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains
• Cluster based inference for extremes of time series

This page was built for publication: The tail empirical process of regularly varying functions of geometrically ergodic Markov chains

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2010476)