Statistics for tail processes of Markov chains

DOI10.1007/s10687-015-0217-1zbMath1327.62322arXiv1405.7721OpenAlexW2011187566MaRDI QIDQ497485

Michał Warchoł, Holger Drees, Johan Segers

Publication date: 24 September 2015

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.7721

zbMATH Keywords

regular variationstationary time seriestime reversibilityheavy-tailed Markov chainstail process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

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