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Models for the extremes of Markov chains.

Research output: Contribution to journalJournal article


<mark>Journal publication date</mark>12/1998
Issue number4
Number of pages17
Pages (from-to)851-867
<mark>Original language</mark>English


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.