PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
Tytuł artykułu

K-te wartości rekordowe i ich podstawowe własności

Autorzy
Identyfikatory
Warianty tytułu
EN
K-th Record Values and Their Basic Properties
Języki publikacji
PL
Abstrakty
PL
W pracy przedstawiony jest model k-tych wartości rekordowych. K-te wartości rekordowe są ważnym przykładem uporządkowanych zmiennych losowych. Pojawiają się one w sposób naturalny w realnym życiu, w przypadku, gdy jesteśmy zainteresowani kolejnymi k-tymi maksymalnymi obserwacjami. Formalną definicję k-tych wartości rekordowych podali Dziubdziela i Kopociński w 1976 roku. Artykuł zawiera probabilistyczną teorię dla tego modelu.
EN
In this paper, the k-th record value model is presented. The k-th record values has emerged as an important model of ordered random variables. They appears naturally in real life where one interested in successive K-th maximum observations. The k-th record values are formally defined by Dziubdziela i Kopociński (1976). The paper contains distributional theory for this model.
Rocznik
Strony
293--324
Opis fizyczny
Bibliogr. 49 poz.
Twórcy
  • Polskie Towarzystwo Matematyczne, Oddział Kielecki, Instytut Matematyki Uniwersytetu Jana Kochanowskiego w Kielcach, ul. Świętokrzyska 15, Kielce 25-406, Polska
Bibliografia
  • [1] M. Ahsanullah and V. B. Nevzorov. Records statistics. In M. Lovric, editor, International Encyclopedia of Statistical Science, pages 1195-1202. Springer, 2011.
  • [2] M. Ahsanullah and V. B. Nevzorov. Records via probability theory. Amsterdam: Atlantis Press, 2015. ISBN 978-94-6239-135-2/hbk; 978-94-6239-136-9/ebook. doi: 10.2991/978-94-6239-136-9.
  • [3] B. C. Arnold, N. Balakrishnan, and H. N. Nagaraja. Records. Wiley Series in Probability and Statistics: Probability and Statistics. John Wiley & Sons, Inc., New York, 1998. ISBN 0-471-08108-6. doi: 10.1002/9781118150412. A Wiley-Interscience Publication.
  • [4] B. C. Arnold, N. Balakrishnan, and H. N. Nagaraja. A first course in order statistics, volume 54 of Classics in Applied Mathematics. Society for Industrial and Applied Mathematics (SIAM), Philadelphia, PA, 2008. ISBN 978-0-89871-648-1. doi: 10.1137/1.9780898719062. Unabridged republication of the 1992 original.
  • [5] B. Buchmann, R. Maller, and S. I. Resnick. Processes of r-th largest. Extremes, Feb 2018. ISSN 1572-915X. doi: 10.1007/s10687-018-0308-x.
  • [6] K. N. Chandler. The distribution and frequency of record values. J. Roy. Statist. Soc. Ser. B., 14:220-228, 1952. ISSN 0035-9246. URL http://links.jstor.org/sici?sici=0035-9246(1952)14:2<220:TDAFOR>2.0.CO;2-D&origin=MSN.
  • [7] C. A. Charalambides. Exact distributions of the number of r-records and the r-record and inter-r-record times. Comm. Statist. Theory Methods, 36 (5-8): 1305-1317, 2007. ISSN 0361-0926. doi: 10.1080/03610920601076974.
  • [8] C. A. Charalambides. Discrete q-distributions on Bernoulli trials with a geometrically varying success probability. J. Statist. Plann. Inference, 140 (9): 2355-2383, 2010. ISSN 0378-3758. doi: 10.1016/j.jspi.2010.03.024.
  • [9] H. A. David and H. N. Nagaraja. Order statistics. Wiley Series in Probability and Statistics. Wiley-Interscience [John Wiley & Sons], Hoboken, NJ, third edition, 2003. ISBN 0-471-38926-9. doi: 10.1002/0471722162.
  • [10] P. Deheuvels. The strong approximation of extremal processes. II. Z. Wahrsch. Verw. Gebiete, 62 (1): 7-15, 1983. ISSN 0044-3719. doi: 10.1007/BF00532159.
  • [11] P. Deheuvels. Strong approximations of kth records and kth record times by Wiener processes. Probab. Theory Related Fields, 77 (2): 195-209, 1988. ISSN 0178-8051. doi: 10.1007/BF00334037.
  • [12] A. Dembińska and F. López-Blázquez. kth records from discrete distributions. Statist. Probab. Lett., 71 (3): 203-214, 2005. ISSN 0167-7152. doi: 10.1016/j.spl.2004.11.001.
  • [13] Dembo, A. . Stochastic processes. Technical report, Department of Statistics, Stanford University, 2013. URL http://statweb.stanford.edu/~adembo/math-136/nnotes.pdf. Revised by K. Ross. Online: accessed 11 May of 2018.
  • [14] M. Dwass. Some k-sample rank-order tests. In Contributions to probability and statistics, pages 198-202. Stanford Univ. Press, Stanford, Calif., 1960. Essays in Honour of H. Hotelling.
  • [15] W. Dziubdziela. Limit distributions of extreme order statistics. Mat. Stos. (3), 9: 45-71, 1977. ISSN 0137-2890.
  • [16] W. Dziubdziela. On record times and record values in a sequence of random variables. Wiadom. Mat., 29 (1): 57-70, 1990. ISSN 0373-8302.
  • [17] W. Dziubdziela and B. Kopociński. Limiting properties of the k-th record values. Zastos. Mat., 15 (2): 187-190, 1976. ISSN 0044-1899.
  • [18] R. Engelen, P. Tommassen, and W. Vervaat. Ignatov's theorem: a new and short proof. J. Appl. Probab., Special Vol. 25A: 229-236, 1988. ISSN 0021-9002. A celebration of applied probability.
  • [19] F. G. Foster and A. Stuart. Distribution-free tests in time-series based on the breaking of records. J. Roy. Statist. Soc. Ser. B., 16: 1-13; discussion 13-22, 1954. ISSN 0035-9246.
  • [20] F. G. Foster and D. Teichroew. A sampling experiment on the powers of the records tests for trend in a time series. J. Roy. Statist. Soc. Ser. B., 17: 115-121, 1955. ISSN 0035-9246.
  • [21] N. Glick. Breaking records and breaking boards. Amer. Math. Monthly, 85 (1): 2-26, 1978. ISSN 0002-9890. doi: 10.2307/2978044.
  • [22] A. V. Gnedin. Corners and records of the Poisson process in quadrant. Electron. Commun. Probab., 13: 187-193, 2008. ISSN 1083-589X. doi: 10.1214/ECP.v13-1351.
  • [23] C. M. Goldie and L. C. G. Rogers. The k-record processes are i.i.d. Z. Wahrsch. Verw. Gebiete, 67 (2): 197-211, 1984. ISSN 0044-3719. doi: 10.1007/BF00535268.
  • [24] Z. Ignatov. Ein von der variationsreihe erzeuger poissonscher punctprozess. Annuaire Univ. Sofia Fac. Math. Méch., 77: 79-94, 1971. Opublikowane w 1986 roku.
  • [25] Z. Ignatov. Point processes generated by order statistics and their applications. In P. Bártfai, editor, Point Proecesses and Queing problems, volume 24 of Coll. Math. Soc. János Bolyai, pages 109-116. North Holland, Amsderdam, 1981.
  • [26] O. Kallenberg. Random measures. Akademie-Verlag, Berlin; Academic Press, Inc., London, fourth edition, 1986. ISBN 0-12-394960-2.
  • [27] O. Kallenberg. Foundations of modern probability. Probability and its Applications (New York). Springer-Verlag, New York, 1997. ISBN 0-387-94957-7.
  • [28] S. Meyn and R. L. Tweedie. Markov chains and stochastic stability. Cambridge University Press, Cambridge, second edition, 2009. ISBN 978-0-521-73182-9. doi: 10.1017/CBO9780511626630. With a prologue by Peter W. Glynn.
  • [29] H. N. Nagaraja. Record values and related statistics. A review. Comm. Statist. Theory Methods, 17 (7): 2223-2238, 1988. ISSN 0361-0926. doi: 10.1080/03610928808829743.
  • [30] V. B. Nevzorov. kth record times and their generalizations. Zapiski Nauchn. Semin LOMI, 153: 115-121, 1986. English transl., J. Soviet Math 44 (1986) 510-515.
  • [31] V. B. Nevzorov. Records. Teor. Veroyatnost. i Primenen., 32 (2): 219-251, 1987. ISSN 0040-361X.
  • [32] V. B. Nevzorov. Records: mathematical theory, volume 194 of Translations of Mathematical Monographs. American Mathematical Society, Providence, RI, 2001. ISBN 0-8218-1945-3. Translated from the Russian manuscript by D. M. Chibisov.
  • [33] I. Pickands. The two-dimensional Poisson process and extremal processes. J. Appl. Probability, 8: 745-756, 1971. ISSN 0021-9002.
  • [34] S. D. Poisson. Recherchés sur la Probabilité des Jugements en Matiére Criminelle te en Matiè Civile. Prècèdèes des Regles Générales du Calcul des Probabilités, Bechelier, Imprimeur-Libraine pour des Mathematiques, la Physique, etc. Paris, 1837. With a bibliography of Rényi's works.
  • [35] A. Rényi. Théorie des éléments saillants d'une suite d'observations. Ann. Fac. Sci. Univ. Clermont-Ferrand No., 8: 7-13, 1962. See also Théorie des éléments saillants d'une suite d'observations, Colloquim on Combinatorial Methods in Probability Theory (Math. Inst., Aarhus, Denmark August 1-10, 1962), pp. 104-117; and On the extreme elements of obserwations, Selected Papers of Alfred Rényi, vol. 3, Akademiai Kiado, Budapest 1976, pp. 50-65.
  • [36] S. I. Resnick. Extreme values, regular variation, and point processes, volume 4 of Applied Probability. A Series of the Applied Probability Trust. Springer-Verlag, New York, 1987. ISBN 0-387-96481-9. doi: 10.1007/978-0-387-75953-1.
  • [37] S. I. Resnick. Heavy-tail phenomena. Springer Series in Operations Research and Financial Engineering. Springer, New York, 2007. ISBN 978-0-387-24272-9; 0-387-24272-4. Probabilistic and statistical modeling.
  • [38] L. C. G. Rogers. Ignatov's theorem: an abbreviation of the proof of Engelen, Tommassen and Vervaat. Comment on: „Ignatov's theorem: a new and short proof” [J. Appl. Probab. 1988, Special Vol. 25A, 229-236; MR0974584 (90a:60094)] by R. Engelen, P. Tommassen and W. Vervaat. Adv. in Appl. Probab., 21 (4): 933-934, 1989. ISSN 0001-8678. doi: 10.2307/1427776.
  • [39] S. M. Samuels. An all-at-once proof of Ignatov's theorem. In Strategies for sequential search and selection in real time (Amherst, MA, 1990), volume 125 of Contemp. Math., pages 231-237. Amer. Math. Soc., Providence, RI, 1992. doi: 10.1090/conm/125/1160623.
  • [40] R. Serfozo. Basics of applied stochastic processes. Probability and its Applications (New York). Springer-Verlag, Berlin, 2009. ISBN 978-3-540-89331-8. doi: 10.1007/978-3-540-89332-5.
  • [41] M. Q. Shahbaz, M. Ahsanullah, S. Hanif Shahbaz, and B. M. Al-Zahrani. Ordered random variables: theory and applications, volume 9 of Atlantis Studies in Probability and Statistics. Atlantis Press, Paris, 2016. ISBN 978-94-6239-224-3; 978-94-6239-225-0. doi: 10.2991/978-94-6239-225-0.
  • [42] G. Simons, Y.-C. Yao, and L. Yang. Doob, Ignatov and optional skipping. Ann. Probab., 30 (4): 1933-1958, 2002. ISSN 0091-1798. doi: 10.1214/aop/1039548377.
  • [43] A. J. Stam. Independent Poisson processes generated by record values and interrecord times. Stochastic Process. Appl., 19 (2): 315-325, 1985. ISSN 0304-4149. doi: 10.1016/0304-4149(85)90033-X.
  • [44] A. Stuart. The efficiencies of tests of randomness against normal regression. J. Amer. Statist. Assoc., 51: 285-287, 1956. ISSN 0162-1459. URL http://links.jstor.org/sici?sici=0162-1459(195606)51:274<285:TEOTOR>2.0.CO;2-Y&origin=MSN.
  • [45] A. Stuart. The efficiency of the records test for trend in normal regression. J. Roy. Statist. Soc. Ser. B., 19: 149-153, 1957. ISSN 0035-9246. URL http://links.jstor.org/sici?sici=0035-9246(1957)19:1<149:TEOTRT>2.0.CO;2-N&origin=MSN.
  • [46] M. N. Tata. On outstanding values in a sequence of random variables. Z. Wahrscheinlichkeitstheorie und Verw. Gebiete, 12: 9-20, 1969. doi: 10.1007/BF00538520. MR 0247655.
  • [47] P. Turán, editor. Selected papers of Alfréd Rényi, Vol. III: 1962-1970. Akadémiai Kiadó, Budapest, 1976. With a bibliography of Rényi's works.
  • [48] S. S. Wilks. Determination of sample sizes for setting tolerance limits. Ann. Math. Statistics, 12: 91-96, 1941. ISSN 0003-4851. MR 0004451.
  • [49] Y.-C. Yao. On independence of k-record processes: Ignatov's theorem revisited. Ann. Appl. Probab., 7 (3): 815-821, 1997. ISSN 1050-5164. doi: 10.1214/aoap/1034801255. MR 1459272.
Uwagi
Opracowanie rekordu w ramach umowy 509/P-DUN/2018 ze środków MNiSW przeznaczonych na działalność upowszechniającą naukę (2019).
Typ dokumentu
Bibliografia
Identyfikator YADDA
bwmeta1.element.baztech-56e1faf2-e6dc-4242-ad22-3e89fc39b4fc
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.