A strong ergodic theorem for extreme and intermediate order statistics

DOI10.1016/J.JMAA.2017.11.062zbMATH Open1380.62212arXiv1704.08391OpenAlexW2963085442MaRDI QIDQ1688844FDOQ1688844

Authors: Aneta Buraczyńska, A. Dembińska 

Publication date: 11 January 2018

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Abstract: We study almost sure limiting behavior of extreme and intermediate order statistics arising from strictly stationary sequences. First, we provide sufficient dependence conditions under which these order statistics converges almost surely to the left or right endpoint of the population support, as in the classical setup of sequences of independent and identically distributed random variables. Next, we derive a generalization of this result valid in the class of all strictly stationary sequences. For this purpose, we introduce notions of conditional left and right endpoints of the support of a random variable given a sigma-field, and present basic properties of these concepts. Using these new notions, we prove that extreme and intermediate order statistics from any discrete-time, strictly stationary process converges almost surely to some random variable. We discribe the distribution of the limiting variate. Thus we establish a strong ergodic theorem for extreme and intermediate order statistics.

Full work available at URL: https://arxiv.org/abs/1704.08391

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zbMATH Keywords

almost sure convergencestationary processesconditional quantilesergodic processesextreme and intermediate order statistics

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Order statistics; empirical distribution functions (62G30) Stationary stochastic processes (60G10) Strong limit theorems (60F15)

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Cited In (5)

• Almost sure asymptotic properties of central order statistics from stationary processes
• Exact results in the theory of intermediate statistics
• Asymptotic behavior of proportions of observations falling to random regions determined by central order statistics
• The long-term behavior of number of near-maximum insurance claims
• An ergodic theorem for proportions of observations that fall into random sets determined by sample quantiles

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