Extreme Value Distributions for Two Kinds of Path Sums of Markov Chain

Lei Gao () and Dong Han ()
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Lei Gao: Shanghai Jiao Tong University
Dong Han: Shanghai Jiao Tong University

Methodology and Computing in Applied Probability, 2020, vol. 22, issue 1, 279-294

Abstract: Abstract We consider the extreme value distributions for two kinds of path sums on condition that every path is a discrete time, homogeneous and irreducible ergodic Markov chain with a finite number of states. We not only derive the extreme value distribution for the first kind but also establish the equivalence of limit distributions of a sum and of a maximum sum for the second kind. Numerical experiments are conducted to confirm our results.

Keywords: Extreme value; Path sums; Limiting distributions; Markov chain; Numerical experiments; 60F99; 60G70; 60J10 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s11009-019-09703-x

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