Clustering of Markov chain exceedances

DOI10.3150/12-BEJSP08zbMath1284.60106arXiv1210.2314OpenAlexW2093049857MaRDI QIDQ373538

David Zeber, Sidney I. Resnick

Publication date: 17 October 2013

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.2314

zbMATH Keywords

extreme valuesMarkov chainregenerative processcluster Poisson processexceedance point processtail chain

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Discrete-time Markov processes on general state spaces (60J05)

Related Items

Asymptotics of the order statistics for a process with a regenerative structure ⋮ Transition kernels and the conditional extreme value model ⋮ Complete convergence and records for dynamically generated stochastic processes

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