- Volume 6, Number 1 (2000), 183-190.
A sufficiency property arising from the characterization of extremes of Markov chains
At extreme levels, it is known that for a particular choice of marginal distribution, transitions of a Markov chain behave like a random walk. For a broad class of Markov chains, we give a characterization for the step length density of the limiting random walk, which leads to an interesting sufficiency property. This representation also leads us to propose a new technique for kernel density estimation for this class of models.
Bernoulli, Volume 6, Number 1 (2000), 183-190.
First available in Project Euclid: 22 April 2004
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Bortot, Paola; Coles, Stuart. A sufficiency property arising from the characterization of extremes of Markov chains. Bernoulli 6 (2000), no. 1, 183--190. https://projecteuclid.org/euclid.bj/1082665385