Convergence to type I distribution of the extremes of sequences defined by random difference equation (Q719372): Difference between revisions

Let a sequence of random variables \(\left( R_{n}\right) \) be defined by the recurrence \(R_{n}=M_{n}R_{n-1}+q,\) \(n\geq1\), where \(R_{0}\) is arbitrary, \(\left( M_{n}\right) \) are i.i.d. copies of a non-degenerate random variable \(M,\) \(0\leq M\leq1\), and \(q>0\) is a constant. Assume that the right endpoint of \(M\) is 1 and that \(\text{P}\left( M=0\right) =0.\) The author shows that there exist sequences \(\left( a_{n}>0\right) \), \(\left( b_{n}\right)\) such that, for every real \(x\), \[ \text{P}\left( a_{n}\left( \max\left( R_{1},R_{2},\ldots,R_{n}\right) -b_{n}\right) \leq x\right) \rightarrow G\left( x\right), \] as \(n\rightarrow\infty\), where \(G\left( x\right) =\exp\left( -\exp\left( -x\right) \right) \), \(-\infty<x<\infty\), is the double-exponential distribution. This partially complements a result of \textit{L. de Haan, S. I. Resnick, H. Rootzén} and \textit{C. G. de Vries} [Stochastic Processes Appl. 32, No.~2, 213--224 (1989; Zbl 0679.60029)] who considered the case when \(\text{P}\left( M>1\right) >0\).