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On the tail behaviour of quantile processes

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  • Horváth, Lajos

Abstract

We consider the asymptotic distributions of suprema of heavily weighted quantile processes. We give representations of the limiting random variables in terms of partial sums of independent exponentially distributed random variables and Poisson process. There are three different types of limiting distributions depending on the domain of attraction of extreme value distributions.

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Bibliographic Info

Article provided by Elsevier in its journal Stochastic Processes and their Applications.

Volume (Year): 25 (1987)
Issue (Month): ()
Pages: 57-72

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Handle: RePEc:eee:spapps:v:25:y:1987:i::p:57-72

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Related research

Keywords: quantile process extreme value theory slowly varying functions Poisson process Renyi statistics;

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