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

DOI10.1007/S10687-009-0081-YMaRDI QIDQ626299zbMATH OpenOpenAlexFDO

Authors Patrice Bertail, Stephan Clémençon, Jessica Tressou

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 indexextreme value statisticsHill estimatorNummelin splitting techniqueregenerative Markov chain

Mathematics Subject Classification ID

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

Review text

The authors apply the regenerative method and the Nummelin technique to the estimation of extremal properties of a time series \(f(X_1),f(X_2),\dots,\) where \(X_1\), \(X_2\),\dots is a time-homogeneous \(\psi\)-irreducible Harris recurrent Markov chain. Estimates for the tail index and the extremal index are considered based on maxima over the approximate pseudo-renewal cycles of the chain. Applications to AR(1) and ARCH(1) models are discussed. Results of simulations are presented.

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Cited in

(7)

• Regenerative block-bootstrap confidence intervals for tail and extremal indexes
• Extreme value distributions for two kinds of path sums of Markov chain
• A renewal approach to Markovian \(U\)-statistics
• Markov chain models, time series analysis and extreme value theory
• Bootstrapping robust statistics for Markovian data applications to regenerative \(R\)-statistics and \(L\)-statistics
• Comments on: Subsampling weakly dependent time series and application to extremes
• On maxima of stationary delay in the \({M/G/2}\) systems

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