Borot, Paola and Tawn, Jonathan A. (1998) Models for the extremes of Markov chains. Biometrika, 85 (4). pp. 851-867. ISSN 1464-3510
Full text not available from this repository.Abstract
The modelling of extremes of a time series has progressed from the assumption of independent observations to more realistic forms of temporal dependence. In this paper, we focus on Markov chains, deriving a class of models for their joint tail which allows the degree of clustering of extremes to decrease at high levels, overcoming a key Limitation in current methodologies. Theoretical aspects of the model are examined and a simulation algorithm is developed through which the stochastic properties of summaries of the extremal txhaviour of the chain are evaluated. The approach is illustrated through a simulation study of extremal events of Gaussian autoregressive processes and an application to temperature data.
| Item Type: | Article |
|---|---|
| Journal or Publication Title: | Biometrika |
| Uncontrolled Keywords: | Asymptotic independence • Bivariate extreme value distribution • Extremal index • Extreme value theory • Gaussian process • Markov chain |
| Subjects: | Q Science > QA Mathematics |
| Departments: | Faculty of Science and Technology > Mathematics and Statistics |
| ID Code: | 19442 |
| Deposited By: | ep_ss_importer |
| Deposited On: | 13 Nov 2008 11:04 |
| Refereed?: | Yes |
| Published?: | Published |
| Last Modified: | 26 Jul 2012 15:29 |
| Identification Number: | |
| URI: | http://eprints.lancs.ac.uk/id/eprint/19442 |
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