Quenched phantom distribution functions for Markov chains

Adam Jakubowski; Patryk Truszczyński

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arXiv · 1801.02587

Quenched phantom distribution functions for Markov chains

Adam Jakubowski·Patryk Truszczyński

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Abstract

It is known that random walk Metropolis algorithms with heavy-tailed target densities can model atypical (slow) growth of maxima, which in general is exhibited by processes with the extremal index zero. The asymptotics of maxima of such sequences can be analyzed in terms of continuous phantom distribution functions. We show that in a large class of positive Harris recurrent Markov chains (containing the above Metropolis chains) a phantom distribution function can be recovered by starting "at the point" rather than from the stationary distribution.

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Adam Jakubowski, Patryk Truszczyński. 2018-01-08. Quenched phantom distribution functions for Markov chains. https://arxiv.org/abs/1801.02587

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