The Pareto record frontier

Abstract: For iid

d

-dimensional observations

X^{(1)}, X^{(2)}, l d o t s

with independent Exponential

(1)

coordinates, consider the boundary (relative to the closed positive orthant), or "frontier",

F_{n}

of the closed Pareto record-setting (RS) region [ mbox{RS}_n := {0 leq x in {mathbb R}^d: x otprec X^{(i)} mbox{for all

1 l e q i l e q n

}} ] at time

n

, where

0 l e q x

means that

0 l e q x_{j}

for

1 l e q j l e q d

and

x p r e c y

means that

x_{j} < y_{j}

for

1 l e q j l e q d

. With

x_{+} := s u m_{j = 1}^{d} x_{j}

, let [ F_n^- := min{x_+: x in F_n} quad mbox{and} quad F_n^+ := max{x_+: x in F_n}, ] and define the width of

F_{n}

as [ W_n := F_n^+ - F_n^-. ] We describe typical and almost sure behavior of the processes

F^{+}

,

F^{-}

, and

W

. In particular, we show that

F_{n}^{+} s i m l n n s i m F_{n}^{-}

almost surely and that

W_{n} / l n l n n

converges in probability to

d - 1

; and for

d g e q 2

we show that, almost surely, the set of limit points of the sequence

W_{n} / l n l n n

is the interval

[d - 1, d]

. We also obtain modifications of our results that are important in connection with efficient simulation of Pareto records. Let

T_{m}

denote the time that the

m

th record is set. We show that

F_{T_{m}}^{+} s i m (d! m)^{1 / d} s i m F_{T_{m}}^{-}

almost surely and that

W_{T_{m}} / l n m

converges in probability to

1 - d^{- 1}

; and for

d g e q 2

we show that, almost surely, the sequence

W_{T_{m}} / l n m

has

l i m i n f

equal to

1 - d^{- 1}

and

l i m s u p

equal to

1

.

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