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

DOI10.1007/S10687-009-0081-YzbMATH Open1224.60117OpenAlexW2006526843MaRDI QIDQ626299FDOQ626299

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

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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)

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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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