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4 papers
Short Communications
Multivariate extremes of random properties of particles in supercritical branching processes
A. V. Lebedev M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Abstract:
The author considers a supercritical Galton–Watson process
$(Z_n)_{n\geqslant0}$ initiated by a single ancestor in which each particle has at least one descendant. It is further assumed that each particle is assigned
$p\geqslant2$ random properties and that for different particles these properties are i.i.d. Denote by
$M_i(n)$,
$i=1,\dots,p$, the maximum of the ith property in the
$n$th generation.
Assuming that
$Z_n/\mathbb{E}Z_n$ converges in mean to a random variable
$W$ and that the joint distribution of properties of a particle belongs to the maximum domain of attraction of a multidimensional nondegenerate law with distribution function
$G$. Then it is proved that the vector
$M_n:=(M_1(n),\dots,M_p(n))$, properly normalized and centered, converges in distribution. The limit law is given by the distribution function
$\varphi(-\log G)$, where
$\varphi(t):=\mathbb{E}e^{-tW}$,
$t\geqslant0$. Without the assumptions stated above a more general result is also obtained:
$M_n$, properly normalized and centered, converges in distribution if and only if the limit distribution function solves the functional equation (explicitly given in the paper).
Keywords:
supercritical branching processes; maxima; multivariate extremes; copulas; max-semistable distributions.
MSC: 60J80,
60G70 Received: 30.09.2004
DOI:
10.4213/tvp4481