On the Influence of the Extremes of an I.I.D. Sequence on the Maximal Spacings
Deheuvels, Paul
Ann. Probab., Tome 14 (1986) no. 4, p. 194-208 / Harvested from Project Euclid
Let $X_1, X_2,\cdots$ be an i.i.d. sequence of random variables with a continuous density $f$, positive on $(A, B)$, and null otherwise. Under the assumption that $Y_n = \min\{X_1,\cdots, X_n\}$ and $Z_n = \max\{X_1,\cdots, X_n\}$ belong to the domain of attraction of extreme value distributions and that $f(x) \rightarrow 0$ as $x \rightarrow A$ or $x \rightarrow B$, we show that the weak limiting behavior of $Y_n$ and $Z_n$ characterizes completely the weak limiting behavior of the maximal spacing generated by $X_1,\cdots, X_n$ and obtain the corresponding limiting distributions. We study as examples the cases of the normal, Cauchy, and gamma distributions.
Publié le : 1986-01-14
Classification:  Order statistics,  spacings,  extreme values,  weak convergence,  limiting distribution,  60F15
@article{1176992622,
     author = {Deheuvels, Paul},
     title = {On the Influence of the Extremes of an I.I.D. Sequence on the Maximal Spacings},
     journal = {Ann. Probab.},
     volume = {14},
     number = {4},
     year = {1986},
     pages = { 194-208},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176992622}
}
Deheuvels, Paul. On the Influence of the Extremes of an I.I.D. Sequence on the Maximal Spacings. Ann. Probab., Tome 14 (1986) no. 4, pp.  194-208. http://gdmltest.u-ga.fr/item/1176992622/