Asymptotics of Markov Kernels and the Tail Chain

DOI10.1239/aap/1363354108zbMath1270.60061arXiv1112.5747OpenAlexW2039352122MaRDI QIDQ4915655

David Zeber, Sidney I. Resnick

Publication date: 11 April 2013

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.5747

zbMATH Keywords

extreme valuesMarkov chainheavy tailmultivariate regular variationtail chaintransition kernel

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70) Discrete-time Markov processes on general state spaces (60J05)

Related Items (9)

Clustering of Markov chain exceedances ⋮ On some new dependence models derived from multivariate collective models in insurance applications ⋮ Implicit extremes and implicit max-stable laws ⋮ Extremes of Markov random fields on block graphs: max-stable limits and structured Hüsler-Reiss distributions ⋮ Transition kernels and the conditional extreme value model ⋮ Generalized variance functions for infinitely divisible mixture distributions ⋮ Extreme events of Markov chains ⋮ Markov tail chains ⋮ Heavy tailed time series with extremal independence

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