The joint limiting distribution of sums and maxima of stationary sequences-Reference-Cited by-同舟云学术

The joint limiting distribution of sums and maxima of stationary sequences

Published:1991-03 Issue:1 Volume:28 Page:33-44
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:Journal of Applied Probability

Author:

Anderson C. W.,Turkman K. F.

Abstract

The joint limiting distribution of suitably normalized partial sums and maxima in a stationary strong mixing sequence with finite variance is derived. It is found that in the limit the two components are independent. This generalizes Chow and Teugels' result for independent sequences. Motivation for the present study comes from a statistical problem in the analysis of extreme winds.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference7 articles.

1. Extreme Values, Regular Variation and Point Processes

2. Chow T. L. and Teugels J. L. (1978) The sum and the maximum of i.i.d random variables. In Proc. Second Prague Symp. Asymptotic Statistics, 81–92.

3. On regular variation and its application to the weak convergence of sample extremes;Haan;Amsterdam Math. Centre Tracts,1970

4. Mori T. (1981) The relation of sums and extremes of random variables. Proc. 43rd Meeting of ISI, Buenos Aires, 879–894.

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