On the Distribution of the Maximum of Random Variables
Galambos, Janos
Ann. Math. Statist., Tome 43 (1972) no. 6, p. 516-521 / Harvested from Project Euclid
For a wide class of (dependent) random variables $X_1, X_2, \cdots, X_n$, a limit law is proved for the maximum, with suitable normalization, of $X_1, X_2, \cdots, X_n$. The results are more general in two aspects than the ones obtained earlier by several authors, namely, the stationary of the $X$'s is not assumed and secondly, the assumptions on the dependence of the $X$'s are weaker than those occurring in previous papers. A generalization of the method of inclusion and exclusion is one of the main tools.
Publié le : 1972-04-14
Classification: 
@article{1177692632,
     author = {Galambos, Janos},
     title = {On the Distribution of the Maximum of Random Variables},
     journal = {Ann. Math. Statist.},
     volume = {43},
     number = {6},
     year = {1972},
     pages = { 516-521},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177692632}
}
Galambos, Janos. On the Distribution of the Maximum of Random Variables. Ann. Math. Statist., Tome 43 (1972) no. 6, pp.  516-521. http://gdmltest.u-ga.fr/item/1177692632/