A Sufficiency Property Arising from the Characterization of Extremes of Markov Chains

A Sufficiency Property Arising from the Characterization of Extremes of Markov Chains

At extreme levels, it is known that for a particular choice of marginal distribution, transitions of a Markov chain behave like a random walk. For a broad class of Markov chains, we give a characterization for the step length density of the limiting random walk, which leads to an interesting suffici...

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Veröffentlicht in:Bernoulli. - International Statistical Institute and Bernoulli Society for Mathematical Statistics and Probability, 1995. - 6(2000), 1, Seite 183-190
1. Verfasser: Bortot, Paola (VerfasserIn)
Weitere Verfasser: Coles, Stuart
Format: Online-Aufsatz
Sprache:English
Veröffentlicht: 2000
Zugriff auf das übergeordnete Werk:Bernoulli
Schlagworte:Extreme value theory Kernel density estimation Markov chain Random walk Sufficient statistics Mathematics Physical sciences Business Applied sciences Behavioral sciences Law
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