Limit theorems for maxima of some dependent random sums

DOI10.3103/S0027132212030047MaRDI QIDQ355270zbMATH OpenFDO

Authors T. V. Kuznetsova

Publication date 24 July 2013

Published in Moscow University Mathematics Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3103/S0027132212030047

zbMATH Keywords

Laplace distributionMaximanormal distributionstable distributionsum of dependent random variables

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70)

Review text

Let \(\{X_{1j}:\,j\in\mathbb N\},\{X_{2j}:\,j\in\mathbb N\},\dots\) be independent sets of (possibly dependent) random variables in each set. Set \(Y_{mn}:=\max_{1\leq i\leq m}\sum_{j=1}^nX_{ij}\). The limit distribution of \(Y_{mn}\), linearly standardized, as \(m,n\to\infty\), is well-known if the random variables \(X_{ij}\), \(i,j\in\mathbb N\), are independent and identically distributed. This paper establishes the limit distribution of \(Y_{mn}\) under particular models for the joint distribution \((X_{i1},\dots,X_{ij})\), \(i,j\in\mathbb N\).

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