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Exact and limiting distribution of sustained maxima
Published online by Cambridge University Press: 14 July 2016
Abstract
Define a random variable
We refer to Yn as a sustained maximum. Under the assumption that the Xi's are i.i.d. the exact distribution of Yn is obtained. Under certain conditions on the underlying distribution F we obtain weak limit results for the Yn as well. Also a combinatorial extreme-value problem is solved.
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- Copyright © Applied Probability Trust 1983
Footnotes
Research supported by the National Science Foundation under Grant MCS8202259.
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