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...
Veröffentlicht in: | Bernoulli. - International Statistical Institute and Bernoulli Society for Mathematical Statistics and Probability, 1995. - 6(2000), 1, Seite 183-190 |
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Format: | Online-Aufsatz |
Sprache: | English |
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2000
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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 |