Extreme Value Theory for a Class of Markov Chains with Values in ℝd

DOI10.2307/1427864MaRDI QIDQ4339344zbMATH OpenOpenAlexFDO

Authors Roland Perfekt

Publication date 18 February 1998

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1427864

zbMATH Keywords

multivariate extremal indexmultivariate extreme valuesstationary Markov chain

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Discrete-time Markov processes on general state spaces (60J05)

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• Estimating the multivariate extremal index function
• Regularly varying multivariate time series
• Regular variation and related results for the multivariate GARCH(p,q) model with constant conditional correlations
• Asymptotic properties for a statistical model of an \(\mathbb{R}^d\)-valued Markov chain.
• The extremal index of a higher-order stationary Markov chain
• Large excursions and conditioned laws for recursive sequences generated by random matrices
• Rare events for stationary processes.
• A sufficiency property arising from the characterization of extremes of Markov chains
• Extreme value distributions for two kinds of path sums of Markov chain
• Capturing the multivariate extremal index: bounds and interconnections
• Extremal indices, geometric ergodicity of Markov chains and MCMC
• The distribution of extrema for risk processes on the finite Markov chain
• Rare events, temporal dependence, and the extremal index
• Clustering of Markov chain exceedances
• Maxima and exceedances of stationary Markov chains
• The extremal index for a Markov chain
• scientific article; zbMATH DE number 1245634 (Why is no real title available?)
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• Asymptotics of Markov kernels and the tail chain
• Statistics for tail processes of Markov chains
• Markov tail chains
• Extreme events of Markov chains
• Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model
• Extreme values statistics for Markov chains via the (pseudo-) regenerative method
• Temporal evolution of the extreme excursions of multivariate kth order Markov processes with application to oceanographic data
• Multivariate extreme values for dynamical systems
• Hidden tail chains and recurrence equations for dependence parameters associated with extremes of stationary higher-order Markov chains
• On the tail behavior of a class of multivariate conditionally heteroskedastic processes
• A connection between extreme value theory and long time approximation of SDEs

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