Extreme Value Theory for a Class of Markov Chains with Values in ℝd

DOI10.2307/1427864zbMath0882.60049OpenAlexW1992060436MaRDI QIDQ4339344

Roland Perfekt

Publication date: 18 February 1998

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427864

zbMATH Keywords

multivariate extremal indexmultivariate extreme valuesstationary Markov chain

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Discrete-time Markov processes on general state spaces (60J05)

Related Items (16)

Rare events for stationary processes. ⋮ Large excursions and conditioned laws for recursive sequences generated by random matrices ⋮ Clustering of Markov chain exceedances ⋮ Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model ⋮ Extremal indices, geometric ergodicity of Markov chains and MCMC ⋮ Statistics for tail processes of Markov chains ⋮ Asymptotics of Markov Kernels and the Tail Chain ⋮ Capturing the multivariate extremal index: bounds and interconnections ⋮ On the tail behavior of a class of multivariate conditionally heteroskedastic processes ⋮ Estimating the multivariate extremal index function ⋮ Regularly varying multivariate time series ⋮ Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations ⋮ Extreme events of Markov chains ⋮ Rare events, temporal dependence, and the extremal index ⋮ The extremal index of a higher-order stationary Markov chain ⋮ Markov tail chains

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