The asymptotic distributions of sums of record values for distributions with regularly varying tails. (Q1866693)

From MaRDI portal
Revision as of 06:00, 5 March 2024 by Import240304020342 (talk | contribs) (Set profile property.)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article
Language Label Description Also known as
English
The asymptotic distributions of sums of record values for distributions with regularly varying tails.
scientific article

    Statements

    The asymptotic distributions of sums of record values for distributions with regularly varying tails. (English)
    0 references
    0 references
    0 references
    27 April 2003
    0 references
    Let \(X_1,X_2,\dots\) be a sequence of independent and identically distributed random variables with continuous distribution function \(F\). It is assumed that \(F\) has a regularly varying tail, i.e., \(1-F(x)=x^{-\alpha}L(x)\) for \(x>0\), where \(\alpha>0\) and \(L(x)\) is a slowly varying function as \(x\to\infty\). For \(k\geq 2\), \(X_k\) is a record value if and only if \(X_k>\max\{X_1,\dots,X_{k-1}\}\). By convention, \(X_1\) is a record value. Let \(T_n\) be the sum of the first \(n\) record values. The main result of the paper says that, under the present assumptions, two sequences of positive numbers \(\{a_n\}\) and \(\{b_n\}\) with \(b_n\uparrow\infty\), \(n\to\infty\), exist such that \((\log(T_n)-\log(a_n))b_n^{-1}\) converges in distribution to the standard normal law, i.e., \((T_n/a_n)^{1/b_n}\) is asymptotically lognormal. A second result states that \(T_n\) cannot converge in distribution to any non-degenerate law through common centralizing and normalizing.
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    sums of record values
    0 references
    central limit theorem
    0 references
    heavy tails
    0 references
    regularly varying tails
    0 references