Ignatov's theorem and correlated record values
For a sequence of i.i.d. random variables an upper (lower) k-record is a value which is kth largest (smallest) at its appearance. A consequence of Ignatov's theorem is that the event a value x ever appears as an upper k-record is independent of the event a value y ever appears as an upper j-record, when either j[not equal to]k or x[not equal to]y. We study the correlation between the event a value ever appears as an upper k-record and the event a value ever appears as a lower j-record, and show that it can be strictly positive or negative depending on simple criteria. We also show that these events are, as either j or k increases, asymptotically independent.
Year of publication: |
1999
|
---|---|
Authors: | Peköz, Erol A. |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 43.1999, 2, p. 107-111
|
Publisher: |
Elsevier |
Subject: | Random variables Ignatov's theorem k-record |
Saved in:
Saved in favorites
Similar items by person
-
Samuelsonś fallacy of large numbers and optional stopping
Peköz, Erol A., (2002)
-
Singpurwalla, Nozer D., (2019)
-
Samuelson's Fallacy of Large Numbers and Optional Stopping
Peköz, Erol A., (2002)
- More ...