Premium
EXTREME VALUE THEORY FOR CERTAIN NON‐STATIONARY SEQUENCES 1
Author(s) -
Feeney G. A.,
Sen P. K.
Publication year - 1985
Publication title -
australian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1985.tb00568.x
Subject(s) - subsequence , extreme value theory , mathematics , independence (probability theory) , sequence (biology) , random variable , generalized extreme value distribution , longest increasing subsequence , marginal distribution , stationary sequence , distribution (mathematics) , value (mathematics) , combinatorics , statistics , statistical physics , mathematical analysis , physics , biology , bounded function , genetics
Summary Under a Markovian structure on a sequence of random variables which can be partitioned into m (1) jointly dependent subsequences (where within each subsequence the random variables have a common marginal distribution which may vary between the subsequences), the asymptotic distribution theory of the sample extreme values is developed. The asymptotic independence of the subsequence extreme values is also studied.