Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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The Cluster Damage in a $extsc{k}th-Order$ Stationary Markov Chain

  • Yun, Seokhoon (Department of Applied Statistics, University of Suwon)
  • Published : 1999.06.01
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Abstract

In this paper we examine extremal behavior of a $textsc{k}$th-order stationary Markov chain {X\ulcorner} by considering excesses over a high level which typically appear in clusters. Excesses over a high level within a cluster define a cluster damage, i.e., a normalized sum of all excesses within a cluster, and all excesses define a damage point process. Under some distributional assumptions for {X\ulcorner}, we prove convergence in distribution of the cluster damage and obtain a representation for the limiting cluster damage distribution which is well suited for simulation. We also derive formulas for the mean and the variance of the limiting cluster damage distribution. These results guarantee a compound Poisson limit for the damage point process, provided that it is strongly mixing.

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