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math.PR2015
Extreme Events of Markov Chains
Ioannis Papastathopoulos, Kirstin Strokorb, Jonathan A. Tawn +1
The extremal behaviour of a Markov chain is typically characterized by its tail chain. For asymptotically dependent Markov chains existing formulations fail to capture the full evo…
math.PR2014★ 1 cited
Conditioned limit laws for inverted max-stable processes
Ioannis Papastathopoulos, Jonathan A. Tawn
Max-stable processes are widely used to model spatial extremes. These processes exhibit asymptotic dependence meaning that the large values of the process can occur simultaneously…