Extreme value distributions for two kinds of path sums of Markov chain

DOI10.1007/S11009-019-09703-XzbMATH Open1437.60020OpenAlexW2920777509WikidataQ128287219 ScholiaQ128287219MaRDI QIDQ2176396FDOQ2176396

Authors: L. Gao, Dong Han 

Publication date: 4 May 2020

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-019-09703-x

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zbMATH Keywords

Markov chainnumerical experimentsextreme valuelimiting distributionspath sums

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Limit theorems in probability theory (60F99)

Cites Work

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Cited In (3)

• Title not available (Why is that?)
• ARL estimation of the control chart of log likelihood ratios' sum for Markov sequence
• Extreme value statistics of ergodic Markov processes from first passage times in the large deviation limit

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