Klaus Herrmann, Marius Hofert, Johanna G. Neslehova
{"title":"依赖性下最大值的极限行为","authors":"Klaus Herrmann, Marius Hofert, Johanna G. Neslehova","doi":"arxiv-2405.02833","DOIUrl":null,"url":null,"abstract":"Weak convergence of maxima of dependent sequences of identically distributed\ncontinuous random variables is studied under normalizing sequences arising as\nsubsequences of the normalizing sequences from an associated iid sequence. This\ngeneral framework allows one to derive several generalizations of the\nwell-known Fisher-Tippett-Gnedenko theorem under conditions on the univariate\nmarginal distribution and the dependence structure of the sequence. The\nlimiting distributions are shown to be compositions of a generalized extreme\nvalue distribution and a distortion function which reflects the limiting\nbehavior of the diagonal of the underlying copula. Uniform convergence rates\nfor the weak convergence to the limiting distribution are also derived.\nExamples covering well-known dependence structures are provided. Several\nexisting results, e.g. for exchangeable sequences or stationary time series,\nare embedded in the proposed framework.","PeriodicalId":501330,"journal":{"name":"arXiv - MATH - Statistics Theory","volume":"13 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Limiting Behavior of Maxima under Dependence\",\"authors\":\"Klaus Herrmann, Marius Hofert, Johanna G. Neslehova\",\"doi\":\"arxiv-2405.02833\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Weak convergence of maxima of dependent sequences of identically distributed\\ncontinuous random variables is studied under normalizing sequences arising as\\nsubsequences of the normalizing sequences from an associated iid sequence. This\\ngeneral framework allows one to derive several generalizations of the\\nwell-known Fisher-Tippett-Gnedenko theorem under conditions on the univariate\\nmarginal distribution and the dependence structure of the sequence. The\\nlimiting distributions are shown to be compositions of a generalized extreme\\nvalue distribution and a distortion function which reflects the limiting\\nbehavior of the diagonal of the underlying copula. Uniform convergence rates\\nfor the weak convergence to the limiting distribution are also derived.\\nExamples covering well-known dependence structures are provided. Several\\nexisting results, e.g. for exchangeable sequences or stationary time series,\\nare embedded in the proposed framework.\",\"PeriodicalId\":501330,\"journal\":{\"name\":\"arXiv - MATH - Statistics Theory\",\"volume\":\"13 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-05-05\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - MATH - Statistics Theory\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2405.02833\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - MATH - Statistics Theory","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2405.02833","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Weak convergence of maxima of dependent sequences of identically distributed
continuous random variables is studied under normalizing sequences arising as
subsequences of the normalizing sequences from an associated iid sequence. This
general framework allows one to derive several generalizations of the
well-known Fisher-Tippett-Gnedenko theorem under conditions on the univariate
marginal distribution and the dependence structure of the sequence. The
limiting distributions are shown to be compositions of a generalized extreme
value distribution and a distortion function which reflects the limiting
behavior of the diagonal of the underlying copula. Uniform convergence rates
for the weak convergence to the limiting distribution are also derived.
Examples covering well-known dependence structures are provided. Several
existing results, e.g. for exchangeable sequences or stationary time series,
are embedded in the proposed framework.