Convergence to type I distribution of the extremes of sequences defined by random difference equation |
| |
Authors: | Pawe? Hitczenko |
| |
Institution: | Departments of Mathematics and Computer Science, Drexel University, Philadelphia, PA 19104, USA |
| |
Abstract: | We study the extremes of a sequence of random variables (Rn) defined by the recurrence Rn=MnRn−1+q, n≥1, where R0 is arbitrary, (Mn) are iid copies of a non-degenerate random variable M, 0≤M≤1, and q>0 is a constant. We show that under mild and natural conditions on M the suitably normalized extremes of (Rn) converge in distribution to a double-exponential random variable. This partially complements a result of de Haan, Resnick, Rootzén, and de Vries who considered extremes of the sequence (Rn) under the assumption that P(M>1)>0. |
| |
Keywords: | primary 60G70 secondary 60F05 |
本文献已被 ScienceDirect 等数据库收录! |
|