Asymptotically balanced functions and stochastic compactness of sample extremes

DOI10.1214/AOP/1176993307MaRDI QIDQ793433zbMATH OpenOpenAlexFDO

Authors Sidney I. Resnick, Laurens De Haan

Publication date 1984

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176993307

zbMATH Keywords

asymptotic balancesample extremesstochastic compactness

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30)

Review text

Let \(X_ n\) be the maximum of the first n terms of a sequence of independent random variables with common distribution function F. The sequence \(\{X_ n\}\) is called stochastically compact if there exist two sequences \(\{a_ n\}\) and \(\{b_ n\}\), \(a_ n>0\), such that every subsequence of \(\{(X_ n-b_ n)/a_ n\}\) contains a further subsequence having proper nondegenerate limit distribution. To obtain conditions for this stochastic compactness the authors introduce a new type of extended regular variation called asymptotic balance. A nondecreasing function \(\Psi\) :(1,\(\infty)\to R\) is called asymptotically balanced if there exists a positive function a(.) such that all partial limits of (\(\Psi\) (tx)-\(\Psi\) (x))/a(t) for \(t\to \infty\) are finite and not identically zero. It is shown that stochastic compactness of \(\{X_ n\}\) is equivalent to asymptotic balance of the inverse function \(\Psi\) of 1/(1-F). Several necessary and sufficient conditions for the stochastic compactness of \(\{X_ n\}\) are given in terms of \(\Psi\) or F itself.

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• Asymptotically balanced functions and the asymptotic behaviour of the complementary function and the Laplace transform
• Intermediate sums and stochastic compactness of maxima
• On stability of intermediate order statistics
• On the cycle maximum of birth-death processes and networks of queues
• Asymptotic results for spacings of largest order statistics
• The outlier behaviour of probability distributions

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