Iterated probability distributions and extremes with random sample size

DOI10.1007/BF00049295MaRDI QIDQ1817415zbMATH OpenFDO

Authors B. Rauhut

Publication date 1 December 1996

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF00049295

zbMATH Keywords

distribution-preserving mappingextremesrandom sample sizestable distributions

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Limit theorems in probability theory (60F99) Extreme value theory; extremal stochastic processes (60G70)

Review text

The possible nondegenerate limit distributions for the \(n\)-fold mapping of a given probability distribution are studied. The class of limit distributions coincides with the nondegenerate \(g\)-stable distributions, where \(g\) is the mapping used for the iteration procedure. In particular, under suitable assumptions, the set of stable distributions is either empty or consists of exactly three different types. The results are applied to the max-stability of distributions for samples with random sample size.

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Cited in

(3)

• Sharp bounds for \(L\)-statistics from dependent samples of random length
• scientific article; zbMATH DE number 169737 (Why is no real title available?)
• Bounds forL-Statistics from Weakly Dependent Samples of Random Length

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