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Markov tail chains (Q5176525)

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scientific article; zbMATH DE number 6408808

Language	Label	Description	Also known as
English	Markov tail chains	scientific article; zbMATH DE number 6408808

Statements

scholarly article

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publication date

26 February 2015

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full work available at URL

https://arxiv.org/abs/1304.7637

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https://projecteuclid.org/euclid.jap/1421763332

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zbMATH Keywords

extreme value distribution

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multivariate Markov chain

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tail chain

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multivariate regular variation

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random walk

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stochastic difference equation

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MaRDI profile type

MaRDI publication profile

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arXiv classification

math.PR

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Regularly varying multivariate time series

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A characterization of multivariate regular variation.

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Regular variation of GARCH processes.

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Support theorems for the Radon transform and Cramér-Wold theorems

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A sufficiency property arising from the characterization of extremes of Markov chains

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Extremes of Markov Chains with Tail Switching Potential

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Asymptotics of stationary solutions of multivariate stochastic recursions with heavy tailed inputs and related limit theorems

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Tail-homogeneity of stationary measures for some multidimensional stochastic recursions

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Tail estimates for stochastic fixed point equations via nonlinear renewal theory

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Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes

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On the multidimensional stochastic equation \(Y_{n+1}=A_{n} Y_{n}+B_{n}\)

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Implicit renewal theory and tails of solutions of random equations

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Joint exceedances of the ARCH process

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Tail probabilities for infinite series of regularly varying random vectors

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Random difference equations and renewal theory for products of random matrices

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Renewal theory for functionals of a Markov chain with compact state space.

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The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model.

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Heavy tail phenomenon and convergence to stable laws for iterated Lipschitz maps

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Extremal behaviour of stationary Markov chains with applications

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Extreme Value Theory for a Class of Markov Chains with Values in ℝ<sup>d</sup>

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Heavy-Tail Phenomena

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Asymptotics of Markov Kernels and the Tail Chain

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The extremal index for a Markov chain

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Markov chain models for threshold exceedances

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Asymptotic Statistics

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The extremal index of a higher-order stationary Markov chain

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The distributions of cluster functionals of extreme events in a <i>d</i>th-order Markov chain

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Practical Issues in the Analysis of Univariate GARCH Models

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5176525

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