IDEAS home Printed from https://ideas.repec.org/p/aiz/louvar/2015023.html
   My bibliography  Save this paper

Statistics for Tail Processes of Markov Chains

Author

Listed:
  • Drees, Holger
  • Segers, Johan
  • Warchol, Michal

Abstract

No abstract is available for this item.

Suggested Citation

  • Drees, Holger & Segers, Johan & Warchol, Michal, 2015. "Statistics for Tail Processes of Markov Chains," LIDAM Reprints ISBA 2015023, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2015023
    Note: In : Extremes : statistical theory and applications in science, engineering and economics, vol. 18, no. 3, p. 369-402 (2015)
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bücher, Axel & Jennessen, Tobias, 2022. "Statistical analysis for stationary time series at extreme levels: New estimators for the limiting cluster size distribution," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 75-106.
    2. Durieu, Olivier & Wang, Yizao, 2022. "Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise," Stochastic Processes and their Applications, Elsevier, vol. 143(C), pages 55-88.
    3. Buriticá, Gloria & Mikosch, Thomas & Wintenberger, Olivier, 2023. "Large deviations of ℓp-blocks of regularly varying time series and applications to cluster inference," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 68-101.
    4. Segers, Johan & Zhao, Yuwei & Meinguet, Thomas, 2016. "Radial-angular decomposition of regularly varying time series in star-shaped metric spaces," LIDAM Discussion Papers ISBA 2016017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Zhao, Zifeng & Zhang, Zhengjun & Chen, Rong, 2018. "Modeling maxima with autoregressive conditional Fréchet model," Journal of Econometrics, Elsevier, vol. 207(2), pages 325-351.
    6. Davis, Richard & Holger, Drees & Segers, Johan & Warchol, Michal, 2016. "Modeling serial extremal dependence," LIDAM Discussion Papers ISBA 2016016, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    7. Drees, Holger & Janßen, Anja & Neblung, Sebastian, 2021. "Cluster based inference for extremes of time series," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 1-33.
    8. Davis, Richard & Drees, Holger & Segers, Johan & Warchol, Michal, 2018. "Inference on the tail process with application to financial time series modelling," LIDAM Discussion Papers ISBA 2018002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aiz:louvar:2015023. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Nadja Peiffer (email available below). General contact details of provider: https://edirc.repec.org/data/isuclbe.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.