Limit laws for a sequence between the maximum and the sum of independent exponentials

João Gomes and Orlando Oliveira

Statistics & Probability Letters, 1997, vol. 35, issue 1, 25-32

Abstract: Consider a stochastic process {Xn}, n = 0, 1, 2, ... with initial value X0 and a sequence of independent, random variables, {Yi}, i [epsilon] N with exponential distribution with parameter one, where Xn+1 = max(Xn, [alpha]Xn + Yn+1), 0

Keywords: Extreme; value; theory; Weak; convergence; Strong; convergence; Record; values (search for similar items in EconPapers)
Date: 1997
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