Markov Chain Models for Threshold Exceedances

@inproceedings{Coles1993MarkovCM,
  title={Markov Chain Models for Threshold Exceedances},
  author={Stuart Coles and Jonathan A. Tawn},
  year={1993}
}
In recent research on extreme value statistics, there has been an extensive development of threshold methods, first in the univariate case but subsequently in the multivariate case as well. In this paper, we develop an alternative methodology for extreme values of univariate time series, by assuming that the time series is Markovian and using bivariate extreme value theory to suggest appropriate models for the transition distributions. We develop an alternative form of the likelihood… CONTINUE READING
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