Another characterization of the type I extreme value distribution

Rocco Ballerini

Statistics & Probability Letters, 1987, vol. 5, issue 2, 83-85

Abstract: The linear-drift Gumbel record (ldGr) model is defined as Yn = Xn + cn, n = 1, 2,..., and c > 0 where {Xn} is i.i.d. with type I extreme value distribution [Lambda][alpha],[beta]. A characterization of [Lambda][alpha],[beta] is given by showing that the ldGr model is the only model of the form Yn = Xn + cn yielding Mn = max {1, Y2,..., Yn} independent of the indicator of a record at a time n.

Keywords: records; Gumbel; distribution; characterization (search for similar items in EconPapers)
Date: 1987
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