Laws of Large Numbers for Sums of Extreme Values
Mason, David M.
Ann. Probab., Tome 10 (1982) no. 4, p. 754-764 / Harvested from Project Euclid
Let $X_1, X_2, \cdots$, be a sequence of nonnegative i.i.d. random variables with common distribution $F$, and for each $n \geq 1$ let $X_{1n} \leq \cdots \leq X_{nn}$ denote the order statistics based on $X_1, \cdots, X_n$. Necessary and sufficient conditions are obtained for averages of the extreme values $X_{n+1-i, n}i = 1, \cdots, k_n + 1$ of the form: $k^{-1}_n \sum^{k_n}_{i = 1} (X_{n+1-i, n} - X_{n-k_n,n})$, where $k_n \rightarrow\infty$ and $n^{-1}k_n \rightarrow 0$, to converge in probability or almost surely to a finite positive constant. In the process, characterizations are given of the classes of distributions with regularly varying upper tails and of distributions with "exponential-like" upper tails.
Publié le : 1982-08-14
Classification:  G2G30,  Order statistics,  regular variation,  extreme values,  60F15
@article{1176993783,
     author = {Mason, David M.},
     title = {Laws of Large Numbers for Sums of Extreme Values},
     journal = {Ann. Probab.},
     volume = {10},
     number = {4},
     year = {1982},
     pages = { 754-764},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993783}
}
Mason, David M. Laws of Large Numbers for Sums of Extreme Values. Ann. Probab., Tome 10 (1982) no. 4, pp.  754-764. http://gdmltest.u-ga.fr/item/1176993783/