The Annals of Applied Probability

Extreme(ly) mean(ingful): Sequential formation of a quality group

Abba M. Krieger, Moshe Pollak, and Ester Samuel-Cahn

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Abstract

The present paper studies the limiting behavior of the average score of a sequentially selected group of items or individuals, the underlying distribution of which, F, belongs to the Gumbel domain of attraction of extreme value distributions. This class contains the Normal, Lognormal, Gamma, Weibull and many other distributions. The selection rules are the “better than average” (β = 1) and the “β-better than average” rule, defined as follows. After the first item is selected, another item is admitted into the group if and only if its score is greater than β times the average score of those already selected. Denote by k the average of the k first selected items, and by Tk the time it takes to amass them. Some of the key results obtained are: under mild conditions, for the better than average rule, k less a suitable chosen function of logk converges almost surely to a finite random variable. When 1 − F(x) = e−[xα + h(x)], α > 0 and h(x) / xαx → ∞ 0, then Tk is of approximate order k2. When β > 1, the asymptotic results for k are of a completely different order of magnitude. Interestingly, for a class of distributions, Tk, suitably normalized, asymptotically approaches 1, almost surely for relatively small β ≥ 1, in probability for moderate sized β and in distribution when β is large.

Article information

Source
Ann. Appl. Probab., Volume 20, Number 6 (2010), 2261-2294.

Dates
First available in Project Euclid: 19 October 2010

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1287494560

Digital Object Identifier
doi:10.1214/10-AAP684

Mathematical Reviews number (MathSciNet)
MR2759734

Zentralblatt MATH identifier
05829440

Subjects
Primary: 62G99: None of the above, but in this section
Secondary: 62F07: Ranking and selection 60F15: Strong theorems

Keywords
Selection rules averages better than average sequential observations asymptotics

Citation

Krieger, Abba M.; Pollak, Moshe; Samuel-Cahn, Ester. Extreme(ly) mean(ingful): Sequential formation of a quality group. Ann. Appl. Probab. 20 (2010), no. 6, 2261--2294. doi:10.1214/10-AAP684. https://projecteuclid.org/euclid.aoap/1287494560


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References

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