Journal of the Korean Statistical Society

  • 제25권3호
  • /
  • Pages.313-336
  • /
  • 1996
  • /
  • 1226-3192(pISSN)
  • /
  • 2005-2863(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

On Weak Convergence of Some Rescaled Transition Probabilities of a Higher Order Stationary Markov Chain

  • 발행 : 1996.09.01
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초록

In this paper we consider weak convergence of some rescaled transi-tion probabilities of a real-valued, k-th order (k $\geq$ 1) stationary Markov chain. Under the assumption that the joint distribution of K + 1 consecutive variables belongs to the domain of attraction of a multivariate extreme value distribution, the paper gives a sufficient condition for the weak convergence and characterizes the limiting distribution via the multivariate extreme value distribution.

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참고문헌

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  14. Journal of Applied Probability v.29 The extremal index for a Markov chain Smith, R. L.
  15. Biometrika v.75 Bivariate extreme value theory: models and estimation Tawn, J. A.
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