On the domain of attraction of an operator between supremum and sum |
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Authors: | Priscilla E Greenwood Gerard Hooghiemstra |
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Institution: | (1) Mathematical Institute, University of British Columbia, 121-1984 Mathematics Road, V6T 1Y4 Vancouver, B.C., Canada;(2) Faculty of Mathematics and Informatics, Department of Statistics, Probability and Operations Research, Delft University of Technology, Mekelweg 4, 2628 CD Delft, The Netherlands |
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Abstract: | Summary Between the operations which produce partial maxima and partial sums of a sequenceY
1,Y
2, ..., lies the inductive operation:X
n
=X
n-1(X
n-1+Y
n
),n1, for 0<<1. If theY
n
are independent random variables with common distributionF, we show that the limiting behavior of normed sequences formed from {X
n
,n1}, is, for 0<<1, parallel to the extreme value case =0. ForFD() we give a full proof of the convergence, whereas forFD()D(), we only succeeded in proving tightness of the involved sequence. The processX
n
is interesting for some applied probability models. |
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Keywords: | |
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