Invariance principles for paced record times and applications

DOI10.1023/A:1009927121278MaRDI QIDQ1582513zbMATH OpenOpenAlexFDO

Authors Gratiane Ennadifi

Publication date 11 October 2000

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1009927121278

zbMATH Keywords

birth processesinter-record timesMarkov chainspoint processesPoisson processesrecord timesrenewal processesstopped sumsstrong approximationsWiener processes

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Renewal theory (60K05)

Review text

This paper aims to establish invariance principles for the counting process of record times, for the classical model as well as for the paced record model when the counting process verifies the general invariance principle. The ``paced record process is the accumulated number of claim records. The approach is based upon strong invariance principles for counting processes since sometimes they also allow to obtain invariance principles for the corresponding arrival-times processes. The authors conclude by extensions of their theorems to non-homogeneous record processes.

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Cited in

(1)

• scientific article; zbMATH DE number 845894 (Why is no real title available?)

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