Author:
Kennedy Douglas P.,Kertz Robert P.
Abstract
The extremal types theorem identifies asymptotic behaviour for the maxima of sequences of i.i.d. random variables. A parallel theorem is given which identifies the asymptotic behaviour of sequences of threshold-stopped random variables. Three new types of limit distributions arise, but normalizing constants remain the same as in the maxima case. Limiting joint distributions are also given for maxima and threshold-stopped random variables. Applications to the optimal stopping of i.i.d. random variables are given.
Publisher
Cambridge University Press (CUP)
Subject
Applied Mathematics,Statistics and Probability
Cited by
23 articles.
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