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Extreme values, range and weak convergence of integrals of Markov chains

Published online by Cambridge University Press:  14 July 2016

P. J. Brockwell ,
S. I. Resnick  and
N. Pacheco-Santiago
P. J. Brockwell*
Affiliation:
Colorado State University
S. I. Resnick*
Affiliation:
Colorado State University
N. Pacheco-Santiago*
Affiliation:
USAF Academy
*
∗ Postal address: Department of Statistics, Colorado State University, Fort Collins, CO 80523, U.S.A.
∗ Postal address: Department of Statistics, Colorado State University, Fort Collins, CO 80523, U.S.A.
∗∗ Postal address: Qtrs 4510 C, USAF Academy, CO 80840, U.S.A. Research supported by the United States Air Force.
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Abstract

A study is made of the maximum, minimum and range on [0, t] of the integral process where S is a finite state-space Markov chain. Approximate results are derived by establishing weak convergence of a sequence of such processes to a Wiener process. For a particular family of two-state stationary Markov chains we show that the corresponding centered integral processes exhibit the Hurst phenomenon to a remarkable degree in their pre-asymptotic behaviour.

Keywords

STORAGE THEORYDEPENDENT INPUTSINTEGRAL OF A MARKOV CHAINEXTREME VALUESRANGEWEAK CONVERGENCEWIENER PROCESSHURST PHENOMENON

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 19 , Issue 2 , June 1982 , pp. 272 - 288
Copyright
Copyright © Applied Probability Trust 1982 

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Footnotes

Research supported by NSF Grant No. MCS 78–00915–01.

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