[Forum SIS] Seminar

[Simone Padoan]

Dear All,

*************************************************
We are glad to announce the following talk
Wednesday, March 20, 2013, 12.30, Room 3-E4-SR03
Bocconi University, via Roentgen 1, Milan.
*************************************************

by Johan Segers, Université Catholique de Louvain, Belgium.

Title:
"Markov Tail Chains"

Abstract:
The extremes of a univariate Markov chain with regulary varying stationary marginal distribution are known to exhibit under general conditions a multiplicative random walk structure called the tail chain. In this paper, we extend this fact to Markov chains with multivariate regularly varying marginal distribution in Euclidean space. We analyze both the forward and the backward tail process and show that they mutually determine each other through a kind of adjoint relation. In a broader setting, it will be seen that even for non-Markovian underlying processes a Markovian forward tail chain always implies that the backward tail chain is Markovian as well. We analyze the resulting class of limiting processes in detail. An application of the theory yields the asymptotic distribution of the past and the future of the solution to a stochastic difference equation conditionally on the present value being large in absolute value.

Anja Janssen (University of Hamburg) and Johan Segers (Université Catholique de Louvain)

-- 
-----------------------------------------------

Dr. Simone Padoan, PhD.
Assistant Professor

Department of Decision Sciences
Bocconi University of Milan
via Roentgen, 1 20136 Milano - Italy
tel. +39 02 5836 5690
Email: simone.padoan a unibocconi.it
Webpage: http://faculty.unibocconi.it/simonepadoan
-----------------------------------------------