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Maxima and sums of non-stationary random length sequences
Extremes ( IF 1.1 ) Pub Date : 2020-03-21 , DOI: 10.1007/s10687-020-00372-5
Natalia M. Markovich , Igor V. Rodionov

We study non-stationary random length sequences of random variables with regularly varying tails. Tail and extremal indexes of their maxima and linear combinations are found. We obtain conditions when both sums and maxima of these sequences have the same tail and extremal indexes. Their extremal index corresponds to the tail index of the most heavy-tailed random variable in the sequence.

中文翻译:

非平稳随机长度序列的最大值和和

我们研究尾部有规律变化的随机变量的非平稳随机长度序列。发现它们的最大值和线性组合的尾部和末梢索引。当这些序列的总和和最大值具有相同的尾部和极值索引时,我们获得条件。它们的极值索引对应于序列中最重尾的随机变量的尾部索引。
更新日期:2020-03-21
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