On asymptotic distribution of maxima of complete and incomplete samples from stationary sequences
Let (Xn) be a strictly stationary random sequence and Mn=max{X1,...,Xn}. Suppose that some of the random variables X1,X2,... can be observed and denote by the maximum of observed random variables from the set {X1,...,Xn}. We determine the limiting distribution of random vector under some condition of weak dependency which is more restrictive than the Leadbetter condition. An example concerning a storage process in discrete time with fractional Brownian motion as input is also given.
Year of publication: |
2006
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Authors: | Mladenovic, Pavle ; Piterbarg, Vladimir |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 116.2006, 12, p. 1977-1991
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Publisher: |
Elsevier |
Keywords: | Stationary sequences Weak dependency Missing observations Extreme values Storage process |
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