The extremal index of a higher-order stationary Markov chain
type: Item
instance of: scholarly article
title: The extremal index of a higher-order stationary Markov chain
zbMATH Open document ID: 0942.60038
author: Seokhoon Yun
published in: The Annals of Applied Probability
publication date: 1999-11-23T00:00:00Z
review text: The author presents a method of computing the so-called extremal index [see \textit{R. M. Loynes}, Ann. Math. Stat. 36, 993-999 (1965; Zbl 0178.53201)] of a real-valued \(k\)th order, \(k\geq 1\), stationary Markov chain. The method is based on the assumption that the joint distribution of \(k+1\) consecutive variables is in the domain of attraction of some multivariate extreme value distribution. Four examples illustrate how the method works.
reviewed by: Marius Iosifescu
Mathematics Subject Classification ID: 60G70
Mathematics Subject Classification ID: 60J05
Mathematics Subject Classification ID: 60G10
Mathematics Subject Classification ID: 60G55
zbMATH DE Number: 1319922
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aoap/1028903534
OpenAlex ID: W2094151275
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DOI: 10.1214/AOAP/1028903534
description: scientific article; zbMATH DE number 1319922