The Asymptotic Distribution of Sums of Extreme Values from a Regularly Varying Distribution
Csorgo, Sandor ; Mason, David M.
Ann. Probab., Tome 14 (1986) no. 4, p. 974-983 / Harvested from Project Euclid
Let $X_{1,n} \leqq \cdots \leqq X_{n,n}$ be the order statistics of $n$ independent and identically distributed positive random variables with common distribution function $F$ satisfying $1 - F(x) = x^{-\alpha}L^\ast(x), x > 0$, where $\alpha$ is any positive number and $L^\ast$ is any function slowly varying at infinity. We give a complete description of the asymptotic distribution of the sum of the top $k_n$ extreme values $X_{n+1-k_n,n}, X_{n+2-k_n,n}, \ldots, X_{n,n}$ for any sequence of positive integers $k_n$ such that $k_n \rightarrow \infty$ and $k_n/n \rightarrow 0$ as $n \rightarrow \infty$.
Publié le : 1986-07-14
Classification:  Regular variation,  sums of extreme values,  asymptotic distribution,  60F05,  62G30
@article{1176992451,
     author = {Csorgo, Sandor and Mason, David M.},
     title = {The Asymptotic Distribution of Sums of Extreme Values from a Regularly Varying Distribution},
     journal = {Ann. Probab.},
     volume = {14},
     number = {4},
     year = {1986},
     pages = { 974-983},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176992451}
}
Csorgo, Sandor; Mason, David M. The Asymptotic Distribution of Sums of Extreme Values from a Regularly Varying Distribution. Ann. Probab., Tome 14 (1986) no. 4, pp.  974-983. http://gdmltest.u-ga.fr/item/1176992451/