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An asymptotic of the distribution of the extrema of independent random variables. (English. Russian original) Zbl 0843.60053

Lith. Math. J. 35, No. 1, 1-10 (1995); translation from Liet. Mat. Rink. 35, No. 1, 1-13 (1995).
Let \(\{X_n,\;n \geq 1\}\) be a sequence of independent random variables being independent of the sequence of positive integer-valued random variables \(\{N_n,\;n \geq 1\}\). Let \(M(n) = \max(X_1, \dots, X_n)\) and \(V(n) = \min(X_1,\dots,X_n)\). Assume that appropriately normalized \(M(n)\) and \(V(n)\), and the sequence \(\{N_n/n\}\) converges weakly to nondegenerate limited distribution. Under some additional assumptions, this paper exhibits the form of the limiting joint distribution function of appropriately normalized \(M(N_n)\) and \(V(N_n)\), and provides estimates of the rate of convergence. Results here generalize Theorems 2.10.1 and 6.2.1 of J. Galambos [“The asymptotic theory of extreme order statistics” (1978; Zbl 0381.62039)] which provide comparable results for the maxima of a sequence of i.i.d. random variables.

MSC:

60G70 Extreme value theory; extremal stochastic processes
60F05 Central limit and other weak theorems

Citations:

Zbl 0381.62039
Full Text: DOI

References:

[1] A. Aksomaitis, Non-uniform estimate of the rate of convergence in the transfer theorem for the extremal values,Liet. Mat. Rinkinys,27, 219–223 (1987).
[2] A. Aksomaitis, Non-uniform estimate of the rate of convergence in a limit theorem for max-scheme,Liet. Mat. Rinkinys,28, 211–215 (1988).
[3] A. Aksomaitis, Rate of convergence in the limit transfer theorem of the maximum and minimum, in:Probability Theory and Mathematical Statistics, Proceedings of the Sixth Vilnius Conference (1993), VSP/TEV, Vilnius/Utrecht (1994), pp. 35–42. · Zbl 0849.60046
[4] J. Galambos,The Asymptotic Theory of Extreme Order Statistics, Wiley, New York (1978). · Zbl 0381.62039
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