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The asymptotic behaviour of the maximum of a random sample subject to trends in location and scale
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Christopher S. Withers
Published/Copyright:
May 29, 2009
Abstract
We study the behavior of the maximum of a series of independent observations subject to trends in both location and scale. The trend functions are arbitrary smooth functions and may be non-linear. It turns out that trend in scale dominates trend in location, at least for an upper tail of power type or gamma type.
Received: 2008-01-14
Published Online: 2009-05-29
Published in Print: 2009-May
© de Gruyter 2009
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Articles in the same Issue
- Semicircle law for random matrices of long-range percolation model
- The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients
- The asymptotic behaviour of the maximum of a random sample subject to trends in location and scale
- Evolution process as an alternative to diffusion process and Black–Scholes Formula
- Occupation time problems for fractional Brownian motion and some other self-similar processes
- Properties of the distribution of the random variable defined by A2-continued fraction with independent elements
