Gnedenko's work (1943) showing the existence of a limiting distribution for the maximum of the first $n$ terms in a sequence of suitably normalized independent identically distributed random variables is extended to sequences of random variables defined on a positive-recurrent denumerable Markov chain.
Publié le : 1974-02-14
Classification:
Limit distributions of maxima,
denumerable Markov chain,
60F05,
60J10,
60K15
@article{1176996755,
author = {O'Brien, George},
title = {The Limiting Distribution of Maxima of Random Variables Defined on a Denumerable Markov Chain},
journal = {Ann. Probab.},
volume = {2},
number = {6},
year = {1974},
pages = { 103-111},
language = {en},
url = {http://dml.mathdoc.fr/item/1176996755}
}
O'Brien, George. The Limiting Distribution of Maxima of Random Variables Defined on a Denumerable Markov Chain. Ann. Probab., Tome 2 (1974) no. 6, pp. 103-111. http://gdmltest.u-ga.fr/item/1176996755/