On the longest gap between power-rate arrivals

DOI10.3150/17-BEJ990MaRDI QIDQ1715533zbMATH OpenOpenAlexWikidataFDO

Authors Jevgenijs Ivanovs, Johan Segers, Søren Asmussen

Publication date 28 January 2019

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1703.09424, https://projecteuclid.org/euclid.bj/1544605250

zbMATH Keywords

Gumbel distributioninhomogeneous Poisson processpoint processesrecordsregular variationweak convergence

Mathematics Subject Classification ID

Geometric probability and stochastic geometry (60D05) Central limit and other weak theorems (60F05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70)

Abstract: Let $L_t$ be the longest gap before time $t$ in an inhomogeneous Poisson process with rate function $lambd{a}_t$ proportional to $t^{alpha-1}$ for some $alphain(0,1)$. It is shown that $lambd{a}_t{L}_t-b_t$ has a limiting Gumbel distribution for suitable constants $b_t$ and that the distance of this longest gap from $t$ is asymptotically of the form $(t/logt)E$ for an exponential random variable $E$. The analysis is performed via weak convergence of related point processes. Subject to a weak technical condition, the results are extended to include a slowly varying term in $lambd{a}_t$.

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Cited in

(6)

• General large deviations of longest gaps in homogeneous Poisson processes
• Asymptotic properties of the maximal subinterval of a Poisson process
• scientific article; zbMATH DE number 34420 (Why is no real title available?)
• Large deviations for the longest gap in Poisson processes
• Time inhomogeneity in longest gap and longest run problems
• The distribution of the minimum observation until a stopping time, with an application to the minimal spacing in a renewal process

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