The Asymptotic Distribution of Extreme Sums
Csorgo, Sandor ; Haeusler, Erich ; Mason, David M.
Ann. Probab., Tome 19 (1991) no. 4, p. 783-811 / Harvested from Project Euclid
Let $X_{1,n}\leq \cdots \leq X_{n,n}$ be the order statistics of $n$ independent random variables with a common distribution function $F$ and let $k_n$ be positive integers such that $k_n \rightarrow \infty$ and $k_n/n \rightarrow \alpha$ as $n \rightarrow \infty$, where $0 \leq \alpha < 1$. We find necessary and sufficient conditions for the existence of normalizing and centering constants $A_n > 0$ and $C_n$ such that the sequence $E_n = \frac{1}{A_n}\bigg\{\sum^{k_n}_{i=1} X_{n+1-i,n} - C_n\bigg\}$ converges in distribution along subsequences of the integers $\{n\}$ to nondegenerate limits and completely describe the possible subsequential limiting distributions. We also give a necessary and sufficient condition for the existence of $A_n$ and $C_n$ such that $E_n$ be asymptotically normal along a given subsequence, and with suitable $A_n$ and $C_n$ determine the limiting distributions of $E_n$ along the whole sequence $\{n\}$ when $F$ is in the domain of attraction of an extreme value distribution.
Publié le : 1991-04-14
Classification:  Sums of extreme values,  asymptotic distribution,  60F05
@article{1176990451,
     author = {Csorgo, Sandor and Haeusler, Erich and Mason, David M.},
     title = {The Asymptotic Distribution of Extreme Sums},
     journal = {Ann. Probab.},
     volume = {19},
     number = {4},
     year = {1991},
     pages = { 783-811},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176990451}
}
Csorgo, Sandor; Haeusler, Erich; Mason, David M. The Asymptotic Distribution of Extreme Sums. Ann. Probab., Tome 19 (1991) no. 4, pp.  783-811. http://gdmltest.u-ga.fr/item/1176990451/