Extremes of Markov Chains with Tail Switching Potential
A recent advance in the utility of extreme value techniques has been the characterization of the extremal behaviour of Markov chains. This has enabled the application of extreme value models to series whose temporal dependence is Markovian, subject to a limitation that prevents switching between ext...
| Veröffentlicht in: | Journal of the Royal Statistical Society. Series B (Statistical Methodology). - Blackwell Publishers. - 65(2003), 4, Seite 851-867 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
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2003
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| Zugriff auf das übergeordnete Werk: | Journal of the Royal Statistical Society. Series B (Statistical Methodology) |
| Schlagworte: | Autoregressive Conditional Heteroscedastic Processes Extremal Index Extreme Value Theory Financial Series Markov Chains Multivariate Extremes Mathematics Applied sciences Business Physical sciences |
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