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A point-process approach to almost-sure behaviour of record values and order statistics

Part of:Stochastic processesLimit theorems

Published online by Cambridge University Press:  01 July 2016

Charles M. Goldie and
Ross A. Maller
Charles M. Goldie
Affiliation:
Queen Mary and Westfield College, University of London
Ross A. Maller*
Affiliation:
University of Western Australia
*
∗∗ Postal address: Department of Mathematics, University of Western Australia, Nedlands, W. A. 6097, Australia.
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Abstract

Point-process and other techniques are used to make a comprehensive investigation of the almost-sure behaviour of partial maxima (the rth largest among a sample of n i.i.d. random variables), partial record values and differences and quotients involving them. In particular, we obtain characterizations of such asymptotic properties as a.s. for some finite constant c, or a.s. for some constant c in [0,∞], which tell us, in various ways, how quickly the sequences increase. These characterizations take the form of integral conditions on the tail of F, which furthermore characterize such properties as stability and relative stability of the sequence of maxima. We also develop their relation to the large-sample behaviour of trimmed sums, and discuss some statistical applications.

Keywords

ALMOST-SURE BOUNDSHEAVY TAILSLIGHT TAILSORDER STATISTICSOUTLIER PRONEOUTLIER RESISTANTRECORD VALUERELATIVE STABILITYSTABILITYTRIMMED SUM

MSC classification

Primary:60G70: Extreme value theory; extremal processes
Secondary:60F15: Strong theorems60G55: Point processes

Information

Type
General Applied Probability
Information
Advances in Applied Probability , Volume 28 , Issue 2 , June 1996, pp. 426 - 462
Copyright
Copyright © Applied Probability Trust 1996 

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Footnotes

∗

Present address: School of Mathematical Sciences, University of Sussex, Brighton, BN1 6HE, UK.

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