Properties of record values with random index characterizing exponential distribution

MaRDI QIDQ2770146zbMATH OpenFDO

Authors Maria Iwińska

Publication date 21 May 2002

Published in Fasciculi Mathematici (Search for Journal in Brave)

zbMATH Keywords

exponential distributionrandomly indexed sequence of random variablesrecord values

Mathematics Subject Classification ID

Distribution theory (60E99) Extreme value theory; extremal stochastic processes (60G70) Characterization and structure theory of statistical distributions (62E10)

Review text

Let \((X_n\), \(n\geq 1)\) be a sequence of independent, non-negative, absolutely continuous and identically distributed random variables. Consider the sequence \((R_\nu)\) of its record values indexed by a geometrically distributed random variable \(\nu\) (with parameter \(p\)). Under some conditions, the random variable \(X_1\) is exponentially distributed if and only if the random variables \(pR_\nu\) and \(R_{\nu+1}-R_\nu\) are identically distributed. The same is valid for the expected values and failure rates.

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