Convergence to type I distribution of the extremes of sequences defined by random difference equation

DOI10.1016/J.SPA.2011.06.007zbMath1231.60047arXiv1106.4281OpenAlexW1993780085MaRDI QIDQ719372

Pawel Hitczenko

Publication date: 10 October 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.4281

zbMATH Keywords

convergence in distributionrandom difference equationextreme valuedouble-exponential distribution

Mathematics Subject Classification ID

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

Cites Work

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• On Tails of Perpetuities
• Quickselect and the Dickman Function
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• Maxima and exceedances of stationary Markov chains
• Analysis of quickselect : an algorithm for order statistics
• Perpetuities with thin tails

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