ON RECORD VALUES AND THE EXPONENT OF A DISTRIBUTION WITH REGULARLY VARYING UPPER TAIL

被引：11
|
作者：
BERRED, M [1 ]
机构：
[1] UNIV PARIS 06,F-75005 PARIS,FRANCE
来源：
JOURNAL OF APPLIED PROBABILITY | 1992年 / 29卷 / 03期
关键词：
RECORDS; EXTREME VALUES; REGULAR VARIATION; PARAMETRIC ESTIMATION; TAIL ESTIMATION;
D O I：
10.2307/3214894
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Let {X(n), n greater-than-or-equal-to 1) be an i.i.d. sequence of positive random variables with a continuous distribution function having a regularly varying upper tail. Denote by {X(n), n greater-than-or-equal-to 1) the corresponding sequence of record values. We introduce two statistics based on the sequence of successive record values and investigate their asymptotic behaviour. We also give some numerical results.
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页码：575 / 586
页数：12
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