Almost sure convergence in extreme value theory

被引:69
作者
Cheng, SH [1 ]
Peng, L
Qi, YC
机构
[1] Beijing Univ, Dept Stat & Probabil, Beijing 100871, Peoples R China
[2] Erasmus Univ, Inst Econometr, NL-3000 DR Rotterdam, Netherlands
关键词
extreme value distribution; almost sure convergence; arithmetic means; logarithmetic means;
D O I
10.1002/mana.19981900104
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
Let X-1,...,X-n be independent random variables with common distribution function F. Define M-n := max/1 less than or equal to i less than or equal to n X-i and let G(x) be one of the extreme-value distributions. Assume F is an element of D(G), i.e., there exist a(n) > 0 and b(n) is an element of IR such that P{(M-n - b(n))/a(n) less than or equal to x} --> G(x), for x is an element of R. Let 1((-infinity x])(.) denote the indicator function of the set (-infinity,x] and S(G) =: {x : 0 < G(x) < 1}. Obviously, 1((-infinity,x])((M-n - b(n))/a(n)) does not converge almost surely for any x is an element of S(G). But we shall prove P{lim/N-->infinity sup/x is an element of S(G)\1/log N Sigma(n=1)(N) 1/n1((-infinity,x])((M-n - b(n))/a(n)) - G(x)\ = 0} = 1.
引用
收藏
页码:43 / 50
页数:8
相关论文
共 8 条
[1]   AN ALMOST EVERYWHERE CENTRAL LIMIT-THEOREM [J].
BROSAMLER, GA .
MATHEMATICAL PROCEEDINGS OF THE CAMBRIDGE PHILOSOPHICAL SOCIETY, 1988, 104 :561-574
[2]  
CHOW YS, 1988, PROBABILITY THEORY, DOI DOI 10.1007/978-1-4684-0504-0
[3]   CONVEX-INVARIANT MEANS AND A PATHWISE CENTRAL-LIMIT-THEOREM [J].
FISHER, A .
ADVANCES IN MATHEMATICS, 1987, 63 (03) :213-246
[4]   A NOTE ON THE ALMOST SURE CENTRAL-LIMIT-THEOREM [J].
LACEY, MT ;
PHILIPP, W .
STATISTICS & PROBABILITY LETTERS, 1990, 9 (03) :201-205
[5]  
RESNICK SI, 1987, EXTREME VALUES
[6]   2 REMARKS ON THE ALMOST SURE CENTRAL-LIMIT-THEOREM [J].
SCHATTE, P .
MATHEMATISCHE NACHRICHTEN, 1991, 154 :225-229
[7]   ON STRONG VERSIONS OF THE CENTRAL LIMIT-THEOREM [J].
SCHATTE, P .
MATHEMATISCHE NACHRICHTEN, 1988, 137 :249-256
[8]  
SCHATTE P, 1991, PROBAB MATH STAT-POL, V11, P237