On the extreme order statistics for a stationary sequence
Suppose that {[xi]j} is a strictly stationary sequence which satisfies the strong mixing condition. Denote by M(k)n the kth largest value of [xi]1,[xi]2,...,[xi]n, and {[upsilon]n(·)} a sequence of normalizing functions for which P[M(1)n[less-than-or-equals, slant][upsilon]n(x)]converges weakly to a continuous distribution G(x). It is shown that if for some k=2,3,...,P[M(k)n[less-than-or-equals, slant][upsilon]n(x)] converges for each x, then there exist probabilities p1,...,pk-1 such that P[M(j)n[less-than-or-equals, slant][upsilon]n(x)] converges weakly to for j=2,...,k, where natural interpretations can be given for the pj. This generalizes certain results due to Dziubdziela (1984) and Hsing, Hüsler and Leadbetter (1986). It is further demonstrated that, with minor modification, the technique can be extended to study the joint limiting distribution of the order statistics. In particular, Theorem 1 of Welsch (1972) is generalized, and some links between the convergence of the order statistics and that of certain point processes are established.
Year of publication: |
1988
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Authors: | Hsing, Tailen |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 29.1988, 1, p. 155-169
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Publisher: |
Elsevier |
Keywords: | extreme values point processes weak convergence |
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