Limit laws for upper and lower extremes from stationary mixing sequences

Richard A. Davis

Journal of Multivariate Analysis, 1983, vol. 13, issue 2, 273-286

Abstract: The aim of this paper is to examine the weak limiting behavior of upper and lower extremes from stationary sequences satisfying dependence conditions similar to D and D' introduced by Leadbetter (Z. Wahrsch. Verw. Gebiete 28 (1974), 289-303). By establishing the convergence in distribution of an associated sequence of point processes, the joint limiting distribution of any collection of upper and lower extremes can be determined. Sufficient and, in some cases, necessary conditions for the asymptotic independence of the upper and lower extremes are also given.

Keywords: extreme; values; stationary; sequences; m-dependence; convergence; in; distribution; point; process; Poisson; process; asymptotic; independence (search for similar items in EconPapers)
Date: 1983
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