Weak Convergence Results for Extremal Processes Generated by Dependent Random Variables
Adler, Robert J.
Ann. Probab., Tome 6 (1978) no. 6, p. 660-667 / Harvested from Project Euclid
In this paper we consider a stationary sequence $\{X_n, n \geqq 1\}$ satisfying weak dependence restrictions similar to those recently introduced by Leadbetter. Suppose $a_n$ and $b_n > 0$ are norming constants for which $\max\{X_{n1},\cdots, X_{nn}\}$ converges in distribution, where $X_{nk} = (X_k - b_n)/a_n$. Define a sequence of planar processes $I_n(B) = \sharp\{j: (j/n, X_{nj}) \in B, j = 1,2,\cdots, n\}$, where $B$ is a Borel subset of $(0, \infty) \times (-\infty, \infty)$. Then the $I_n$ converge weakly to a nonhomogeneous two-dimensional Poisson process possessing the same distribution as for independent $X_j$. Applying the continuous mapping theorem to this result generates a variety of further results, including, for example, weak convergence of the order statistics of the $X_n$ sequence. The dependence conditions are weak enough to include the Gaussian sequences considered by Berman.
Publié le : 1978-08-14
Classification:  Dependent stationary sequence,  Gaussian sequence,  $K$-dimensional extremal process,  two-dimensional Poisson process,  weak convergence,  vague topology,  Skorohod topology,  60F05,  60B10,  60G10,  60G15
@article{1176995486,
     author = {Adler, Robert J.},
     title = {Weak Convergence Results for Extremal Processes Generated by Dependent Random Variables},
     journal = {Ann. Probab.},
     volume = {6},
     number = {6},
     year = {1978},
     pages = { 660-667},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995486}
}
Adler, Robert J. Weak Convergence Results for Extremal Processes Generated by Dependent Random Variables. Ann. Probab., Tome 6 (1978) no. 6, pp.  660-667. http://gdmltest.u-ga.fr/item/1176995486/