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On the domain of attraction of an operator between supremum and sum
Authors:Priscilla E Greenwood  Gerard Hooghiemstra
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
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-1or(agrX n-1+Y n ),ngE1, for 0<agr<1. If theY n are independent random variables with common distributionF, we show that the limiting behavior of normed sequences formed from {X n ,ngE1}, is, for 0<agr<1, parallel to the extreme value case agr=0. ForFisinD(PHgrgamma) we give a full proof of the convergence, whereas forFisinD(PSgrgamma)cupD(Lambda), we only succeeded in proving tightness of the involved sequence. The processX n is interesting for some applied probability models.
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