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Asymptotic properties of extremal Markov chains of Kendall type. (arXiv:1901.05698v1 [math.PR])
来源于:arXiv
We consider a class of max-AR(1) sequences connected with the Kendall
convolution. For a large class of step size distributions we prove that the one
dimensional distributions of the Kendall random walk with any unit step
distribution, are regularly varying. The finite dimensional distributions for
Kendall convolutions are given. We prove convergence of a continuous time
stochastic process constructed from the Kendall random walk in the finite
dimensional distributions sense using regularly varying functions. 查看全文>>