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December, 1975 Weak Convergence to Extremal Processes
Sidney I. Resnick
Ann. Probab. 3(6): 951-960 (December, 1975). DOI: 10.1214/aop/1176996221

Abstract

$\{X_n, n\geqq 1\}$ are i.i.d. rv's with df $F$. Set $M_n = \max\{X_1, \cdots, X_n\}$. As a basic assumption, suppose normalizing constants $a_n > 0, b_n, n \geqq 1$ exist such that $\lim_{n\rightarrow\infty} P\lbrack M_n \leqq a_n x + b_n \rbrack = G(x)$, nondegenerate. Define the random function $Y_n(t) = (M_{\lbrack nt \rbrack} - b_n)/a_n$. By considering weak convergence of underlying two dimensional point processes, an alternate proof of the original Lamperti result that $Y_n \Rightarrow Y$ is given where $Y$ is an extremal-$G$ process. From the convergence of the point processes, other weak convergence results are shown. Let $x(t)$ be nondecreasing and $Nx(I)$ be the number of times $x$ jumps in time interval $I$. Then $Y_n^{-1} \Rightarrow Y^{-1}, NY_n \Rightarrow NY, NY_n^{-1} \Rightarrow NY^{-1}$. From these convergences emerge a variety of limit results for record values, record value times and inter-record times.

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Sidney I. Resnick. "Weak Convergence to Extremal Processes." Ann. Probab. 3 (6) 951 - 960, December, 1975. https://doi.org/10.1214/aop/1176996221

Information

Published: December, 1975
First available in Project Euclid: 19 April 2007

zbMATH: 0322.60024
MathSciNet: MR428396
Digital Object Identifier: 10.1214/aop/1176996221

Subjects:
Primary: 60F05
Secondary: 60B10, 60J30, 60J75

Rights: Copyright © 1975 Institute of Mathematical Statistics

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Vol.3 • No. 6 • December, 1975
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