The Pareto record frontier

DOI10.1214/20-EJP492MaRDI QIDQ2201506zbMATH OpenOpenAlexFDO

Authors James Allen Fill, Daniel Q. Naiman

Publication date 29 September 2020

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1901.05620, https://projecteuclid.org/euclid.ejp/1596852131

zbMATH Keywords

extreme value theorymaximatime changecurrent recordsmultivariate recordsboundary-crossing probabilitiesbroken recordsPareto recordsrecord-setting regionwidth of frontier

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Geometric probability and stochastic geometry (60D05) Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Sample path properties (60G17)

Abstract: For iid $d$-dimensional observations $X^{(1)},X^{(2)},ldots$ 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 $1leqileqn$}} ] at time $n$, where $0leqx$ means that $0leq{x}_j$ for $1leqjleqd$ and $xprecy$ means that $x_j<y_j$ for $1leqjleqd$. With $x_{+}:=su{m}_{j=1}^d{x}_j$, 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 $F_n^{+}simlnnsim{F}_n^{-}$ almost surely and that $W_n/lnlnn$ converges in probability to $d-1$; and for $dgeq2$ we show that, almost surely, the set of limit points of the sequence $W_n/lnlnn$ 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 $F_{T_m}^{+}sim(d!m{)}^{1/d}sim{F}_{T_m}^{-}$ almost surely and that $W_{T_m}/lnm$ converges in probability to $1-d^{-1}$; and for $dgeq2$ we show that, almost surely, the sequence $W_{T_m}/lnm$ has $liminf$ equal to $1-d^{-1}$ and $limsup$ equal to $1$.

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Cites work

• scientific article; zbMATH DE number 5988004 (Why is no real title available?)
• scientific article; zbMATH DE number 1212031 (Why is no real title available?)
• Maxima in hypercubes
• Multivariate records based on dominance
• On the variance of the number of maxima in random vectors and its applications

Cited in

(4)

• Breaking multivariate records
• Breaking bivariate records
• Gaussian approximation for rooted edges in a random minimal directed spanning tree
• Gaussian approximation for sums of region-stabilizing scores

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