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On subordinated distributions and random record processes

Published online by Cambridge University Press:  24 October 2008

P. Embrechts  and
E. Omey
P. Embrechts
Affiliation:
Katholieke Universiteit Leuven and Economische Hogeschool Sint-Aloysius Brussels
E. Omey
Affiliation:
Katholieke Universiteit Leuven and Economische Hogeschool Sint-Aloysius Brussels
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Abstract

Consider a sequence of i.i.d. random variables attached to the points of an independent point process . The random record process is the process of epochs of successive maxima in this sequence. Various limit theorems are proved for the distribution of times to successive records and interrecord times. Some new results on the tail-behaviour of subordinated distributions are needed.

Type
Research Article
Information
Mathematical Proceedings of the Cambridge Philosophical Society , Volume 93 , Issue 2 , March 1983 , pp. 339 - 353
Copyright
Copyright © Cambridge Philosophical Society 1983

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References

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