Weak convergence of partial maxima processes in the M 1 topology

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Weak Convergence of Partial Maxima Processes in the M1 Topology

It is known that for a sequence of independent and identically distributed random variables (Xn) the regular variation condition is equivalent to weak convergence of partial maximaMn = max{X1, . . . , Xn}, appropriately scaled. A functional version of this is known to be true as well, the limit process being an extremal process, and the convergence takes place in the space of càdlàg functions e...

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ژورنال

عنوان ژورنال: Extremes

سال: 2014

ISSN: 1386-1999,1572-915X

DOI: 10.1007/s10687-014-0190-0