Abstract
Consider maxima M
n
of a sequence of random variables defined on a finite Markov chain. Necessary and sufficient conditions for the existence of normalizing constants B
n
such that are given. The problem can be reduced to studying maxima of i.i.d. random variables drawn from a finite product of distributions π
i=1
m
H
i
(x). The effect of each factor H
i
(x) on the behavior of maxima from π
i=1
m
H
i
is analyzed. Under a mild regularity condition, B
n
can be chosen to be the maximum of the m quantiles of order (1 - n
-1) of the H's.
Publisher
Cambridge University Press (CUP)
Subject
Applied Mathematics,Statistics and Probability
Cited by
4 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献