Processes of r^th largest

DOI10.1007/S10687-018-0308-XMaRDI QIDQ1633429zbMATH OpenOpenAlexWikidataFDO

Authors Boris Buchmann, Sidney I. Resnick, Ross A. Maller

Publication date 20 December 2018

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1607.08674

zbMATH Keywords

domain of attractionextremal processextremesMarkov property

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Order statistics; empirical distribution functions (62G30)

Abstract: For integers $ngeqr$, we treat the $r$th largest of a sample of size $n$ as an $mathbb{R}^{i}nfty$-valued stochastic process in $r$ which we denote $mathbf{M}^{(r)}$. We show that the sequence regarded in this way satisfies the Markov property. We go on to study the asymptotic behaviour of $mathbf{M}^{(r)}$ as $roinfty$, and, borrowing from classical extreme value theory, show that left-tail domain of attraction conditions on the underlying distribution of the sample guarantee weak limits for both the range of $mathbf{M}^{(r)}$ and $mathbf{M}^{(r)}$ itself, after norming and centering. In continuous time, an analogous process $mathbf{Y}^{(r)}r$ based on a two-dimensional Poisson process on $mathbb{R}_{+}imesmathbbR$ is treated similarly, but we find that the continuous time problems have a distinctive additional feature: there are always infinitely many points below the $r$th highest point up to time $t$ for any $t>0$. This necessitates a different approach to the asymptotics in this case.

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Cited in

(9)

• Ratios of ordered points of point processes with regularly varying intensity measures
• Trimmed Lévy processes and their extremal components
• No-tie conditions for large values of extremal processes
• Convergence of extreme values of Poisson point processes at small times
• Limiting behavior of the ratio of \(k\)th records
• The Final Size of the $C_{\ell}$-free Process
• The indices of the largest amongnindependent observations
• \(K\)-th record values and their basic properties
• Small-time almost-sure behaviour of extremal processes

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