On asymptotic distribution of maxima of complete and incomplete samples from stationary sequences

Pavle Mladenovic and Vladimir Piterbarg ()

Stochastic Processes and their Applications, 2006, vol. 116, issue 12, 1977-1991

Abstract: Let (Xn) be a strictly stationary random sequence and Mn=max{X1,...,Xn}. Suppose that some of the random variables X1,X2,... can be observed and denote by the maximum of observed random variables from the set {X1,...,Xn}. We determine the limiting distribution of random vector under some condition of weak dependency which is more restrictive than the Leadbetter condition. An example concerning a storage process in discrete time with fractional Brownian motion as input is also given.

Keywords: Stationary; sequences; Weak; dependency; Missing; observations; Extreme; values; Storage; process (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (10)

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