Extreme values for stationary and Markov sequences (Q1089669): Difference between revisions

The paper deals with the asymptotic behaviour of the maxima of strictly stationary sequences \((X_ n)\). Let \(M_{i,j}=\max (X_{i+1},...,X_ j)\) and let \(M_ n=M_{0,n}\). Let \((c_ n)\) be a sequence of real numbers. In particular, the author proves, under very general circumstances, that \[ P[M_ n\leq c_ n]-(P[X_ 1\leq c_ n])nP[M_{1,p_ n}\leq c_ n| X_ 1>c_ n]\to 0, \] for any sequence \((p_ n)\) satisfying certain growth-rate conditions. The obtained results can be applied to the case when \((X_ n)\) is a function of a positive Harris Markov sequence. Some examples are given.