Extreme values statistics for Markov chains via the (pseudo-) regenerative method

DOI10.1007/s10687-009-0081-yzbMath1224.60117OpenAlexW2006526843MaRDI QIDQ626299

Stéphan Clémençon, Jessica Tressou, Patrice Bertail

Publication date: 22 February 2011

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-009-0081-y

zbMATH Keywords

extremal indexHill estimatorNummelin splitting techniqueextreme value statisticsregenerative Markov chain

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items

Regenerative block-bootstrap confidence intervals for tail and extremal indexes ⋮ A renewal approach to Markovian \(U\)-statistics ⋮ Comments on: Subsampling weakly dependent time series and application to extremes ⋮ Bootstrapping Robust Statistics for Markovian Data Applications to Regenerative R‐Statistics and L‐Statistics

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Markov chains and stochastic stability
• Implicit renewal theory and tails of solutions of random equations
• Regenerative block-bootstrap for Markov chains
• Weak convergence of the tail empirical process for dependent sequences
• Estimation de la transition de probabilité d'une chaîne de Markov Doeblin-recurrente. Étude du cas du processus autoregressif général d'ordre 1
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• Extreme values for stationary and Markov sequences
• Extremal theory for stochastic processes
• On the extreme order statistics for a stationary sequence
• On tail index estimation using dependent data
• A simple general approach to inference about the tail of a distribution
• Tail index estimation for dependent data
• Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
• Extreme value theory for queues via cycle maxima
• Extremal index estimation for a weakly dependent stationary sequence
• Extremal behaviour of stationary Markov chains with applications
• Computing the extremal index of special Markov chains and queues
• Tail index estimation and an exponential regression model
• Moment and probability inequalities for sums of bounded additive functionals of regular Markov chains via the Nummelin splitting technique
• Edgeworth expansions of suitably normalized sample mean statistics for atomic Markov chains
• Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
• Nonparametric estimation in null recurrent time series.
• Adaptive estimation of the transition density of a regular Markov chain
• New estimators for the extremal index and other cluster characteristics
• Extremes of Markov sequences
• Estimating a tail exponent by modelling departure from a Pareto distribution
• Extremal indices, geometric ergodicity of Markov chains and MCMC
• The extremal behaviour over regenerative cycles for Markov additive processes with heavy tails
• Regenerative stochastic processes
• Regeneration-based statistics for Harris recurrent Markov chains
• SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
• Maxima and exceedances of stationary Markov chains
• Limit Theorems for Harris Markov Chains, I
• Almost sure convergence of the Hill estimator
• The Berry-Esseen theorem for functionals of discrete Markov chains
• Calculating the extremal index for a class of stationary sequences
• A splitting technique for Harris recurrent Markov chains
• On asymptotic normality of the hill estimator
• Stationary M/G/1 excursions in the presence of heavy tails
• Estimating tail decay for stationary sequences via extreme values
• Geometric ergodicity of nonlinear autoregressive models with changing conditional variances
• Inference for Clusters of Extreme Values
• Applied Probability and Queues
• [https://portal.mardi4nfdi.de/wiki/Publication:4743580 Approximation dans les espaces m�triques et th�orie de l'estimation]
• Consistency of Hill's estimator for dependent data
• The extremal index and clustering of high values for derived stationary sequences
• Contributions to Doeblin's theory of Markov processes
• A comparison of methods for estimating the extremal index