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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2002 Volume 47, Issue 2, Pages 402–410 (Mi tvp3673)

This article is cited 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

Language: English

DOI: 10.4213/tvp3673


 English version:
Theory of Probability and its Applications, 2003, 47:2, 365–374

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