|
This article is cited in 10 scientific papers (total in 10 papers)
Short Communications
Max-semistable laws in extremes of stationary random sequences
M. G. Temidoa, L. Canto E. Castrob a University of Coimbra
b Center of Mathematics and Fundamental Applications, University of Lisbon
Abstract:
In this paper we consider stationary sequences under the validity of an extension of Leadbetter's condition $D(u_n)$. For these sequences we prove that, if $\{k_n\}$ is a nondecreasing integer sequence satisfying $\lim_{n\to+\infty}k_{n+1}/k_n=r\ge 1$, then the limit law for the maximum of the first $k_n$ variables is a max-semistable law. This generalizes the corresponding result for sequences of independent identically distributed random variables of Grinevich [Theory Probab. Appl., 38 (1993), pp. 640–650] and the extremal types theorem of Leadbetter [Z. Wahrsch. Verw. Gebiete, 28 (1974), pp. 289–303]. We also prove that the limiting behavior of this maximum can be inferred from the limiting behavior of the corresponding maximum of the associated independent sequence, and we extend the well-known notion of extremal index. An illustrative example is given.
Keywords:
maximum, weak convergence, stationarity, max-semistable laws.
Received: 13.05.1999
Citation:
M. G. Temido, L. Canto E. Castro, “Max-semistable laws in extremes of stationary random sequences”, Teor. Veroyatnost. i Primenen., 47:2 (2002), 402–410; Theory Probab. Appl., 47:2 (2003), 365–374
Linking options:
https://www.mathnet.ru/eng/tvp3673https://doi.org/10.4213/tvp3673 https://www.mathnet.ru/eng/tvp/v47/i2/p402
|
|