Bortot, Paola; Coles, Stuart - In: Journal of the Royal Statistical Society Series B 65 (2003) 4, pp. 851-867
A recent advance in the utility of extreme value techniques has been the characteri- zation of the extremal behaviour of Markov chains. This has enabled the application of extreme value models to series whose temporal dependence is Markovian, subject to a limitation that prevents switching...