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

DOI10.2307/3318638zbMath0955.60059OpenAlexW2050669530MaRDI QIDQ1975196

Paola Bortot, Stuart G. Coles

Publication date: 9 April 2000

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1082665385

zbMATH Keywords

Markov chainrandom walksufficient statisticsextreme value theorykernel density estimation

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

Related Items (5)

Statistics for tail processes of Markov chains ⋮ Asymptotics of Markov Kernels and the Tail Chain ⋮ Modelling extremes of time-dependent data by Markov-switching structures ⋮ Markov tail chains ⋮ One- versus multi-component regular variation and extremes of Markov trees

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