THE JOINT LIMITING DISTRIBUTION OF SUMS AND MAXIMA OF STATIONARY-SEQUENCES

被引：46

作者：

ANDERSON, CW ^{[1
]}

TURKMAN, KF ^{[1
]}

机构：

[1] DEIOC,P-1700 LISBON,PORTUGAL

来源：

JOURNAL OF APPLIED PROBABILITY | 1991年 / 28卷 / 01期

关键词：

EXTREME VALUES; STRONG MIXING; WIND STATISTICS; GUMBEL DISTRIBUTION; FRECHET DISTRIBUTION;

D O I：

10.2307/3214738

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：

The joint limiting distribution of suitably normalized partial sums and maxima in a stationary strong mixing sequence with finite variance is derived. It is found that in the limit the two components are independent. This generalizes Chow and Teugels' result for independent sequences. Motivation for the present study comes from a statistical problem in the analysis of extreme winds.

引用

页码：33 / 44

页数：12