On joint sum/max stability and sum/max domains of attraction

• Autorzy: Hees K. , Scheffler H.-P.

Identyfikatory

DOI

10.19195/0208-4147.38.1.9

• Języki publikacji: EN

Abstrakty

EN

Let (W_i, J_i)_iϵN be a sequence of i.i.d. [0, ∞) × R-valued random vectors. Considering the partial sum of the first component and the corresponding maximum of the second component, we are interested in the limit distributions that can be obtained under an appropriate scaling. In the case that W_i and J_i are independent, the joint distribution of the sum and the maximum is the product measure of the limit distributions of the two components. But if we allow dependence between the two components, this dependence can still appear in the limit, and we need a new theory to describe the possible limit distributions. This is achieved via harmonic analysis on semigroups, which can be utilized to characterize the scaling limit distributions and describe their domains of attraction.

Słowa kluczowe

EN

sum stable; max stable; joint limit theorem

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2018
• Tom: Vol. 38, Fasc. 1
• Strony: 157--189
• Opis fizyczny: Bibliogr. 15 poz.

Twórcy

autor

Hees K.

• Institut für Medizinische Biometrie und Informatik, Universität Heidelberg, 69126 Heidelberg, Deutschland

autor

Scheffler H.-P.

• Department of Mathematics, University of Siegen, 57072 Siegen, Deutschland

Bibliografia

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Uwagi

Opracowanie rekordu w ramach umowy 509/P-DUN/2018 ze środków MNiSW przeznaczonych na działalność upowszechniającą naukę (2019).