Moment Convergence of Sample Extremes
III, James Pickands
Ann. Math. Statist., Tome 39 (1968) no. 6, p. 881-889 / Harvested from Project Euclid
Let $Z_n$ be the maximum of $n$ independent identically distributed random variables each having the distribution function $F(x)$. If there exists a non-degenerate distribution function (df) $\Lambda(x)$, and a pair of sequence $a_n, b_n$, with $a_n > 0$, such that \begin{equation*}\tag{1.1}\lim_{n\rightarrow\infty}P\{a_n^{-1}(Z_n - b_n) \leqq x\} = \lim_{n\rightarrow\infty} F^n (a_nx + b_n) = \Lambda(x)\end{equation*} on all points in the continuity set of $\Lambda(x)$, we say that $\Lambda(x)$ is an extremal distribution, and that $F(x)$ lies in its domain of attraction. The possible forms of $\Lambda(x)$ have been completely specified, and their domains of attraction characterized by Gnedenko [5]. These results and their applications are contained in the book by Gumbel [6]. A natural question is whether the various moments of $a_n^{-1} (Z_n - b_n)$ converge to the corresponding moments of the limiting extremal distribution. Sen [9] and McCord [8] have shown that they do for certain distribution functions $F(x)$, satisfying (1.1). Von Mises ([10] pages 271-294) has shown that they do for a wide class of distribution functions having two derivatives for all sufficiently large $x$. In Section 2, the question is answered affirmatively for all distribution functions $F(x)$ in the domain of attraction of any extremal distribution provided the moments are finite for sufficiently large $n$. If there exists a sequence $a_n$ such that \begin{equation*}\tag{1.2}Z_n - a_n \rightarrow 0, \text{i.p.}\end{equation*} we say that $Z_n$ is stable in probability. If \begin{equation*}\tag{1.3}Z_n/a_n \rightarrow 1, \text{i.p.}\end{equation*} we say that $Z_n$ is relatively stable in probability. Necessary and sufficient conditions are well known for stability and relative stability both in probability (see Gnedenko [5]) and with probability one (see Geffroy [4], and Barndorff-Nielsen [1]). In Section 3 necessary and sufficient conditions are found for $m$th absolute mean stability and relative stability. The results of this work are valid for smallest values as well as for largest values.
Publié le : 1968-06-14
Classification: 
@article{1177698320,
     author = {III, James Pickands},
     title = {Moment Convergence of Sample Extremes},
     journal = {Ann. Math. Statist.},
     volume = {39},
     number = {6},
     year = {1968},
     pages = { 881-889},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177698320}
}
III, James Pickands. Moment Convergence of Sample Extremes. Ann. Math. Statist., Tome 39 (1968) no. 6, pp.  881-889. http://gdmltest.u-ga.fr/item/1177698320/