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

Author

Listed:
  • Lei Gao

    (Shanghai Jiao Tong University)

  • Dong Han

    (Shanghai Jiao Tong University)

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.

Suggested Citation

  • Lei Gao & Dong Han, 2020. "Extreme Value Distributions for Two Kinds of Path Sums of Markov Chain," Methodology and Computing in Applied Probability, Springer, vol. 22(1), pages 279-294, March.
    • Handle: RePEc:spr:metcap:v:22:y:2020:i:1:d:10.1007_s11009-019-09703-x
    DOI: 10.1007/s11009-019-09703-x
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    References listed on IDEAS

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