Extreme value distributions for two kinds of path sums of Markov chain

DOI10.1007/s11009-019-09703-xzbMath1437.60020OpenAlexW2920777509WikidataQ128287219 ScholiaQ128287219MaRDI QIDQ2176396

Lei Gao, Dong Han

Publication date: 4 May 2020

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-019-09703-x

zbMATH Keywords

numerical experimentsMarkov chainlimiting distributionsextreme valuepath sums

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Limit theorems in probability theory (60F99)

Related Items (1)

ARL estimation of the control chart of log likelihood ratios' sum for Markov sequence

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