Extreme events of Markov chains
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Publication:5233162
DOI10.1017/apr.2016.82zbMath1425.60051arXiv1510.08920OpenAlexW2963759470MaRDI QIDQ5233162
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Publication date: 16 September 2019
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1510.08920
Markov chainasymptotic independenceextreme value theorytail chainconditional extremeshidden tail chain
Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Discrete-time Markov processes on general state spaces (60J05)
Related Items (3)
\(k\)th-order Markov extremal models for assessing heatwave risks ⋮ Extremes of Markov random fields on block graphs: max-stable limits and structured Hüsler-Reiss distributions ⋮ Bayesian uncertainty management in temporal dependence of extremes
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