Asymptotic Distributions of Record Values under Exponential Normalization

Abstract

In this paper, we study the limit distribution of the record values under nonlinear normalization of the form $${\cal T}_n(x)=\exp\{u_{n}(| \log |x||)^{v_{n}}\mbox{sign}(\log |x|)\}\mbox{sign}(x),$$ which is called exponential norming ($e-$norming). The corresponding limit laws of the upper extremes are called $e$-max stable laws (denoted by $U(.)$). In this paper, we show that the limit distributions of the record values under exponential norming are of the form $ {\cal N}(-\log (-\log U(x))),$ where ${\cal N}(.)$ is the standard normal distribution. Moreover, we study the domains of attraction for these types of limit laws. Finally, some illustrative examples are given.