Skip to main content
×
×
Home

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

  • Charles M. Goldie (a1) and Ross A. Maller (a2)
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.

Copyright
Corresponding author
∗∗ Postal address: Department of Mathematics, University of Western Australia, Nedlands, W. A. 6097, Australia.
Footnotes
Hide All

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

Footnotes
References
Hide All
Barndorff-Nielsen, O. (1961) On the rate of growth of the partial maxima of a sequence of independent identically distributed random variables. Math. Scand. 9, 383394.
Barndorff-Nielsen, O. (1963) On the limit behaviour of extreme order statistics. Ann. Math. Statist. 34, 9921002.
Bingham, N. H., Goldie, C. M. and Teugels, J. L. (1989) Regular Variation (revised paperback edn). Encycl. of Math. and its Appl. 27. Cambridge University Press, Cambridge.
Deheuvels, P. (1981) The strong approximation of extremal processes. Z. Wahrscheinlichkeitsth. 58, 16.
Deheuvels, P. (1983) The strong approximation of extremal processes II. Z. Wahrscheinlichkeitsth. 62, 715.
Engelen, R., Tommassen, P. and Vervaat, W. (1988) Ignatov's theorem: a new and short proof. J. Appl. Prob. 25A, 229236.
Geffroy, J. (1958/59). Contributions à la théorie de valeurs extrêmes. Publ. Inst. Stat. Univ. Paris 7/8, 37185.
Gnedin, A. V. (1994a) On a best-choice problem with dependent criteria. J. Appl. Prob. 31, 221234.
Gnedin, A. V. (1994b) Multiple maxima of a normal sample. Report. Universität Göttingen.
Goldie, C. M. and Resnick, S. I. (1989) Records in a partially ordered set. Ann. Prob. 17, 678699.
Goldie, C. M. and Rogers, L. C. G. (1984) The k-record processes are i.i.d. Z. Wahrscheinlichkeitsth. 67, 197211.
Green, R. F. (1976) Outlier-prone and outlier-resistant distributions. J. Amer. Statist. Assoc. 71, 502505.
Haan, L. De and Resnick, S. I. (1973) Almost sure limit points of record values. J. Appl. Prob. 10, 528542.
Haan, L. De and Resnick, S. I. (1977) Limit theory for multivariate sample extremes. Z. Wahrscheinlichkeitsth. 40, 317337.
Haiman, G. (1987) Etude des extrêmes d'une suite stationnaire m-dépendante avec une application relative aux accroissements du processus de Wiener. Ann. Inst. H. Poincaré–Prob. et Stat. 23, 425458.
Hall, P. G. (1979a). On the relative stability of large order statistics. Math. Proc. Camb. Phil. Soc. 86, 467475.
Hall, P. G. (1979b) A note on a paper of Barnes and Tucker. J. London Math. Soc. 19, 170174.
Kesten, H. (1991) Unpublished manuscript.
Kesten, H. and Maller, R. A. (1992) Ratios of trimmed sums and order statistics. Ann. Prob. 20, 18051842.
Kinoshita, K. and Resnick, S. I. (1991) Convergence of scaled random samples in Ann. Prob. 19, 16401663.
Klass, M. J. (1986) The Robbins-Siegmund series criterion for partial maxima. Ann. Prob. 13, 13691370.
Li, Z. F. and Tomkins, R. J. (1991). Complete stability of large order statistics. J. Theor. Prob. 4, 213221.
Maller, R. A. and Resnick, S. I. (1984). Limiting behaviour of sums and the term of maximum modulus. Proc. London Math. Soc. 49, 385422.
Mathar, R. (1984) The limit behaviour of the maximum of random variables with applications to outlier resistance. J. Appl. Prob. 21, 646650.
Mori, T. (1976) The strong law of large numbers when extreme terms are excluded from sums. Z. Wahrscheinlichkeitsth. 36, 189194.
Nayak, S. S. and Wali, K. S. (1992) On the number of boundary crossings related to LIL and SLLN for record values and partial maxima of i.i.d. sequences and extremes of uniform spacings. Stoch. Proc. Appl. 43, 317329.
Neyman, J. and Scott, E. L. (1971) Outlier proneness of phenomena and of related distributions. In Optimizing Methods in Statistics. ed. Rustagi, J. S. Academic Press, New York.
Pickands, J. (1971) The two-dimensional Poisson process and extremal processes. J. Appl. Prob. 8, 745756.
Pruitt, W. E. (1987) The contribution to the sum of the summand of maximum modulus. Ann. Prob. 15, 885896.
Resnick, S. I. (1973) Record values and maxima. Ann. Prob. 4, 650662.
Resnick, S. I. (1986) Point processes, regular variation and weak convergence. Adv. Appl. Prob. 18, 66138.
Resnick, S. I. (1987) Extreme Values, Regular Variation and Point Processes. (Applied Probability 4) Springer, New York.
Resnick, S. I. and Tomkins, R. J. (1973) Almost sure stability of maxima. J. Appl. Prob. 10, 387401.
Sepanski, S. J. (1993) Almost sure bootstrap of the mean under random normalization. Ann. Prob. 21, 917925.
Shanbhag, D. N. (1979) Some refinements in distribution theory. Sankhya A 41, 251262.
Tomkins, R. J. (1986) Regular variation and the stability of maxima. Ann. Prob. 14, 984995.
Vervaat, W. (1977) Success Epochs in Bernoulli Trials. 2nd edn. (Math. Centrum Tracts 42) Math. Centrum, Amsterdam.
Wang, H. and Tomkins, R. J. (1992) A zero-one law for large order statistics. Canad. J. Statist. 20, 323334.
Zaanen, A. C. (1958) An Introduction to the Theory of Integration. North-Holland, Amsterdam.
Recommend this journal

Email your librarian or administrator to recommend adding this journal to your organisation's collection.

Advances in Applied Probability
  • ISSN: 0001-8678
  • EISSN: 1475-6064
  • URL: /core/journals/advances-in-applied-probability
Please enter your name
Please enter a valid email address
Who would you like to send this to? *
×

Keywords:

Metrics

Full text views

Total number of HTML views: 0
Total number of PDF views: 7 *
Loading metrics...

Abstract views

Total abstract views: 53 *
Loading metrics...

* Views captured on Cambridge Core between September 2016 - 12th June 2018. This data will be updated every 24 hours.