Limit theorems for numbers of near records (Q1003308): Difference between revisions

Let \(X_1\),\(X_2\),\dots be i.i.d. random variables, and \[ L(1)=1,\;L(n)=\min\{j:\;j>L(n-1)\;\text{and}\;X_j>X{L(n-1)}\} \] be the record times and \(X(n)=X_{L(n)}\) be the record values. Then \[ \xi_n(a)=\text{card}\{j:\;L(n)<j<L(n+1),\;X(n)-a<X_j<X(n)\} \] is the number of near-records. The author investigates the asymptotic distribution of \(\xi_n(a)\) as \(n\to\infty\) for heavy- and thin-tailed distributions. E.g., for a standard lognormal \(X_j\), the distribution of \(\xi_n(a_n)\) converges to a geometric distribution with the probability of success \(e^{-z}\) if \(a_n\sim (z/\sqrt{2n})e^{\sqrt{2n}}\). In the case of thin-tailed distributions, the asymptotic distribution of centered and normalized \(\xi_n(a)\) is derived for fixed \(a\). Asymptotics of sums of records and near-\(k\)-records are also investigated.