Extreme values statistics for Markov chains via the (pseudo-) regenerative method
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- A comparison of methods for estimating the extremal index
- A simple general approach to inference about the tail of a distribution
- A splitting technique for Harris recurrent Markov chains
- Adaptive estimation of the transition density of a regular Markov chain
- Almost sure convergence of the Hill estimator
- Applied Probability and Queues
- Approximation dans les espaces m�triques et th�orie de l'estimation
- Calculating the extremal index for a class of stationary sequences
- Computing the extremal index of special Markov chains and queues
- Consistency of Hill's estimator for dependent data
- Contributions to Doeblin's theory of Markov processes
- Edgeworth expansions of suitably normalized sample mean statistics for atomic Markov chains
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Estimating tail decay for stationary sequences via extreme values
- Estimating tail probabilities in queues via extremal statistics
- Estimation de la transition de probabilité d'une chaîne de Markov Doeblin-recurrente. Étude du cas du processus autoregressif général d'ordre 1
- Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
- Extremal behaviour of stationary Markov chains with applications
- Extremal index estimation for a weakly dependent stationary sequence
- Extremal indices, geometric ergodicity of Markov chains and MCMC
- Extremal theory for stochastic processes
- Extreme value theory for queues via cycle maxima
- Extreme values for stationary and Markov sequences
- Extremes of Markov sequences
- Geometric ergodicity of nonlinear autoregressive models with changing conditional variances
- Implicit renewal theory and tails of solutions of random equations
- Inference for Clusters of Extreme Values
- Kernel estimation for real-valued Markov chains
- Limit Theorems for Harris Markov Chains, I
- Markov chains and stochastic stability
- Maxima and exceedances of stationary Markov chains
- Moment and probability inequalities for sums of bounded additive functionals of regular Markov chains via the Nummelin splitting technique
- New estimators for the extremal index and other cluster characteristics
- Nonparametric estimation in null recurrent time series.
- On asymptotic normality of Hill's estimator for the exponent of regular variation
- On asymptotic normality of the hill estimator
- On tail index estimation using dependent data
- On the extreme order statistics for a stationary sequence
- Regeneration-based statistics for Harris recurrent Markov chains
- Regenerative block-bootstrap for Markov chains
- Regenerative stochastic processes
- SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
- Stationary M/G/1 excursions in the presence of heavy tails
- Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
- Tail index estimation and an exponential regression model
- Tail index estimation for dependent data
- The Berry-Esseen theorem for functionals of discrete Markov chains
- The extremal behaviour over regenerative cycles for Markov additive processes with heavy tails
- The extremal index and clustering of high values for derived stationary sequences
- Weak convergence of the tail empirical process for dependent sequences
Cited in
(7)- On maxima of stationary delay in the \({M/G/2}\) systems
- Comments on: Subsampling weakly dependent time series and application to extremes
- Extreme value distributions for two kinds of path sums of Markov chain
- Markov chain models, time series analysis and extreme value theory
- Bootstrapping robust statistics for Markovian data applications to regenerative \(R\)-statistics and \(L\)-statistics
- Regenerative block-bootstrap confidence intervals for tail and extremal indexes
- A renewal approach to Markovian \(U\)-statistics
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