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- W2093049857 abstract "The tail chain of a Markov chain can be used to model the dependence between extreme observations. For a positive recurrent Markov chain, the tail chain aids in describing the limit of a sequence of point processes ${N_n,ngeq1}$, consisting of normalized observations plotted against scaled time points. Under fairly general conditions on extremal behaviour, ${N_n}$ converges to a cluster Poisson process. Our technique decomposes the sample path of the chain into i.i.d. regenerative cycles rather than using blocking argument typically employed in the context of stationarity with mixing." @default.
- W2093049857 created "2016-06-24" @default.
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- W2093049857 date "2013-09-01" @default.
- W2093049857 modified "2023-10-16" @default.
- W2093049857 title "Clustering of Markov chain exceedances" @default.
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- W2093049857 doi "https://doi.org/10.3150/12-bejsp08" @default.
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