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• W2963283068 abstract "We consider a stationary regularly varying time series which can be expressed as a function of a geometrically ergodic Markov chain. We obtain practical conditions for the weak convergence of the tail array sums and feasible estimators of cluster statistics. These conditions include the so-called geometric drift or Foster–Lyapunov condition and can be easily checked for most usual time series models with a Markovian structure. We illustrate these conditions on several models and statistical applications. A counterexample is given to show a different limiting behavior when the geometric drift condition is not fulfilled." @default.
• W2963283068 created "2019-07-30" @default.
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• W2963283068 date "2019-11-01" @default.
• W2963283068 modified "2023-10-13" @default.
• W2963283068 title "The tail empirical process of regularly varying functions of geometrically ergodic Markov chains" @default.
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• W2963283068 doi "https://doi.org/10.1016/j.spa.2018.11.014" @default.
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