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On asymptotic distribution of maxima of complete and incomplete samples from stationary sequences
详细信息
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作者:
Pavle Mladenović
;
;
Vladimir
Piterbarg
关键词:
Stationary sequences
;
Weak dependency
;
Missing observations
;
Extreme values
;
Storage process
刊名:Stochastic Processes and their Applications
出版年:2006
出版时间:December 2006
年:2006
卷:116
期:12
页码:1977-1991
全文大小:277 K
文摘
Let
(
X
n
) be a strictly stationary random sequence and
M
n
=max{
X
1
,…,
X
n
}. Suppose that some of the random variables
X
1
,
X
2
,… can be observed and denote by
the maximum of observed random variables from the set
{
X
1
,…,
X
n
}. We determine the limiting distribution of random vector
under some condition of weak dependency which is more restrictive than the Leadbetter condition. An example concerning a storage process in discrete time with fractional Brownian motion as input is also given.
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