Almost sure stability of maxima
- 1 March 1973
- journal article
- research article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 10 (02) , 387-401
- https://doi.org/10.1017/s0021900200095383
Abstract
For random variables {Xn, n≧ 1} unbounded above setMn= max {X1,X2, …,Xn}. When do normalizing constantsbnexist such thatMn/bn→1 a.s.; i.e., when is {Mn} a.s. stable? If {Xn} is i.i.d. then {Mn} is a.s. stable iff for alland in this casebn∼F–1(1 – 1/n) Necessary and sufficient conditions for lim supn→∞,Mn/bn= l >1 a.s. are given and this is shown to be insufficient in general for lim infn→∞Mn/bn= 1 a.s. except whenl= 1. When theXnare r.v.'s defined on a finite Markov chain, one shows by means of an analogue of the Borel Zero-One Law and properties of semi-Markov matrices that the stability problem for this case can be reduced to the i.i.d. case.Keywords
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