The distributions of cluster functionals of extreme events in a dth-order Markov chain

DOI10.1239/JAP/1014842266MaRDI QIDQ4503208zbMATH OpenOpenAlexFDO

Authors Seokhoon Yun

Publication date 26 April 2001

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

Full work available at URL https://doi.org/10.1239/jap/1014842266

zbMATH Keywords

\(d\)th-order stationary Markov chaincluster functionalsextremes

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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Cited in

(17)

• Some aspects of extreme value statistics under serial dependence
• Modelling extremes of time-dependent data by Markov-switching structures
• Regularly varying multivariate time series
• \(k\)th-order Markov extremal models for assessing heatwave risks
• Estimation of extreme values by the average conditional exceedance rate method
• Most probable distributions and distributions of extremes for particle systems with hierarchical structures
• Modelling dependence uncertainty in the extremes of Markov chain
• Approximate distributions of clusters of extremes
• A large deviations approach to limit theory for heavy-tailed time series
• Clustering of Markov chain exceedances
• Functionals of clusters of extremes
• Asymptotics of Markov kernels and the tail chain
• Statistics for tail processes of Markov chains
• Markov tail chains
• On extremes of random clusters and marked renewal cluster processes
• Temporal evolution of the extreme excursions of multivariate kth order Markov processes with application to oceanographic data
• Limit theorems for empirical processes of cluster functionals

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