Markov chain models, time series analysis and extreme value theory

DOI10.2307/1428065zbMath0853.62068OpenAlexW4232661407MaRDI QIDQ4891046

Shin-Ho Chung, D. S. Poskitt

Publication date: 7 January 1997

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

Full work available at URL: https://doi.org/10.2307/1428065

zbMATH Keywords

identificationhidden Markov chaincritical valuesstrong consistencyrealization theoremfinite state Markov chainstate dimensionnumber of statesasymptotic extreme valuesautoregressive moving-average data generating mechanismcontinuous noise

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (6)

Weak VARMA representations of regime-switching state-space models ⋮ A long memory model with normal mixture GARCH ⋮ Robust estimation for order of hidden Markov models based on density power divergences ⋮ Estimating the order of a hidden markov model ⋮ The \(L^2\)-structures of standard and switching-regime GARCH models ⋮ ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS

This page was built for publication: Markov chain models, time series analysis and extreme value theory