Limit distribution of the last exit time for stationary random sequences |
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Authors: | Jürg Hüsler |
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Institution: | (1) Department of math. Statistics, University of Berne, Sidlerstr. 5, CH-3012 Bern, Switzerland |
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Abstract: | Summary For a strictly stationary random sequence (X
i)
i 0 we find sufficient conditions such that the distribution of the last exit time t
= max{i X
i> i} ( >0) tends weakly to a nondegenerate limit distribution as ![beta](/content/q541p5t0280u8822/xxlarge946.gif) 0. |
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Keywords: | |
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