Markov tail chains
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Publication:5176525
zbMath1308.60067arXiv1304.7637MaRDI QIDQ5176525
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Publication date: 26 February 2015
Full work available at URL: https://arxiv.org/abs/1304.7637
random walkextreme value distributionstochastic difference equationmultivariate regular variationtail chainmultivariate Markov chain
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Discrete-time Markov processes on general state spaces (60J05) Random operators and equations (aspects of stochastic analysis) (60H25)
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