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RECORDS IN THE PRESENCE OF A LINEAR TREND (GAUSSIAN PROCESSES, STRONG MIXING, ARMA MODELS, WEAK CONVERGENCE).

机译:存在线性趋势(高斯过程,强混合,ARMA模型,弱收敛)的记录。

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摘要

Records from the sequence Y(,n) = X(,n) + cn, n (GREATERTHEQ) 1, are analyzed, where X(,n) is a strictly stationary random sequence. We prove the almost sure convergence of the record rate, record times, and record values to specified constants. Under appropriate moment assumptions and mixing conditions, central limit theorems are also shown to hold for the above-mentioned sequences. Moreover, a more stringent moment condition leads to a law of the iterated logarithm for the record rate. The special case when X(,n) is a stationary Gaussian process is considered with special attention given to Gaussian ARMA sequences.;The weak convergence of sample extremes for Y(,n) is briefly considered, leading to a characterization of the type II extreme value distribution. Finally, in the special case when X(,n) is i.i.d. with.;type I extreme value distribution, we may embed the sequence of successive maxima.;(DIAGRAM, TABLE OR GRAPHIC OMITTED...PLEASE SEE DAI).;A class of weakly consistent estimators for the asymptotic variance of the record rate is constructed. The performance of several of these estimators for small samples is examined via a simulation study. All these results are illustrated by analysis of the times in the 400 and 800 meter runs.;in a suitable extremal process. This leads to several independence results for certain random sequences which are functions of the sample maxima. Also, in this situation, we prove that the inter- record times are asymptotically geometric.
机译:分析来自序列Y(,n)= X(,n)+ cn,n(GREATERTHEQ)1的记录,其中X(,n)是严格平稳的随机序列。我们证明了记录速率,记录时间和记录值几乎可以确定地收敛到指定的常数。在适当的力矩假设和混合条件下,中心极限定理也适用于上述序列。此外,更严格的矩条件导致记录速率的对数迭代定律。考虑X(,n)是平稳高斯过程的特殊情况,并特别注意高斯ARMA序列。极值分配。最后,在特殊情况下,当X(,n)为i.i.d时。类型为I的极值分布,我们可以嵌入连续最大值的序列。(图表,表格或图形省略...请参见DAI);记录速率的渐近方差的一类弱一致估计量为建造。通过模拟研究检查了其中一些估计量对小样本的性能。所有这些结果都通过对400米和800米运行时间的分析来说明;在一个合适的极端过程中。这导致作为样本最大值的函数的某些随机序列的若干独立性结果。同样,在这种情况下,我们证明了记录间时间是渐近几何的。

著录项

  • 作者

    BALLERINI, ROCCO.;

  • 作者单位

    Colorado State University.;

  • 授予单位 Colorado State University.;
  • 学科 Statistics.
  • 学位 Ph.D.
  • 年度 1985
  • 页码 111 p.
  • 总页数 111
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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