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Ergodic behaviour of extreme values
Published online by Cambridge University Press: 09 April 2009
Abstract
Let {Xn, n ≥ 1} be independent identically distributed random variables with a common non-degenerate distribution function F. For each n ≥ 1, denote Mn = max {X1,…, Xn}. Under certain conditions on F, there exist constants an > 0 and bn ∈ R such that . In this paper, we shall show that {(Mn – bn)/an} exhibits ergodic behaviour under additional conditions of F.
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- Copyright © Australian Mathematical Society 2000
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