Extremal indices, geometric ergodicity of Markov chains and MCMC

DOI10.1007/s10687-006-0028-5zbMath1142.65011OpenAlexW2045434610WikidataQ58406743 ScholiaQ58406743MaRDI QIDQ2463676

Jeffrey S. Rosenthal, Johan Segers, Gareth O. Roberts, Bruno Sousa

Publication date: 16 December 2007

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-006-0028-5

zbMATH Keywords

Markov chain Monte Carloheavy tailsMetropolis algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Extreme value theory; extremal stochastic processes (60G70) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (7)

Quenched phantom distribution functions for Markov chains ⋮ Phantom distribution functions for some stationary sequences ⋮ Extreme values statistics for Markov chains via the (pseudo-) regenerative method ⋮ Regenerative block-bootstrap confidence intervals for tail and extremal indexes ⋮ The tail empirical process of regularly varying functions of geometrically ergodic Markov chains ⋮ On Extremal Index of max-stable stationary processes ⋮ Directional phantom distribution functions for stationary random fields

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