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平稳正态序列超过数点过程与部分和的渐近联合分布 被引量：3

THE ASYMPTOTIC JOINT DISTRIBUTION OF EXCEEDANCES POINT PROCESS AND PARTIAL SUM OF STATIONARY NORMAL SEQUENCES
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摘要 {Xi}为平稳正态序列,具有EX1=0,EX12=1,ρn=EX1Xn+1.对于水平un= ,记在 的条件下,得到了Nn(B)与Sn的渐近联合分布,同时也给出了极值与Sn的渐近联合分布. Let{Xi} be a stationary normal sequence, EX1 = 0, EX12 = 1, ρn = EX1Xn+1. For the levels , write The asymptotic joint distribution of Nn(B) and Sn is obtained; the asymptotic joint distribution of extreme value and Sn is also given under the condition .
作者 何腊梅
机构地区 四川大学数学学院
出处 《应用数学学报》 CSCD 北大核心 2004年第1期81-88,共8页 Acta Mathematicae Applicatae Sinica
关键词 平稳正态序列 渐近联合分布 极值 超过数点过程 相关系数 Stationary normal sequences, exceedance point process, partial sum
分类号 O211.61 [理学—概率论与数理统计]
  • 相关文献

参考文献6

  • 1彭作祥.强相依高斯序列超过数点过程与部分和的联合渐近分布[J].应用数学学报,1999,22(3):362-367. 被引量：11
  • 2Anderson C W, Turkman K F. The Joint Limiting Distribution of Sums and Maxima of Stationary Sequences. J. Appl. Prob., 1991, 28:33-44.
  • 3Anderson C W, Turkman K F. Sums and Maxima in Stationary Sequences. J. Appl. Prob., 1991,28:715-716.
  • 4Hwai-Chung Ho, Tailen Hsing. On the Asymptotic Joint Distribution of the Sum and Maximum of Stationary Normal Random Variables. J. Appl. Prob., 1996, 33:138-145.
  • 5Tailen Hsing. A Note on the Asymptotic Independence of the Sum and Maximum of Strongly Mixing Stationary Random Variables. Ann. Prob., 1995, 23(2): 938-947.
  • 6Leadbetter M R, Lindgren G, Rootzen H. Extremes and Related Properties of Stationary Sequences and Processes. New York: Springer-Verlag, 1983.

二级参考文献1

  • 1Ho Hwaichung，J Appl Probab，1996年，33卷，138页

共引文献10

同被引文献14

  • 1Berman S M. Sojourns and Extremes of Stochastic Processes[M]. California: Wadsworth Inc,1992
  • 2Leadbetter M R, Lindgren G, Rootzen H. Extremes and Related Properties of Stationary Sequences and Processes[M]. New York:Springer, 1983
  • 3Resnick S I. Extreme Values, Regular Variation and Point Processes[M]. New York: Springer,1987
  • 4Ho Hwai-Chung, Hsing Tailen. On the asymptotic joint distribution of the sum and maximum of stationary normal random variables[J]. J Appl Prob, 1996;33(1):138-145
  • 5Anderson C W, Turkman K F. The joint limiting distribution of sums and maxima of stationary sequences[J]. J Appl Prob, 1991;28(1):33-44
  • 6Anderson C W, Turkman K F. Sums and maxima in stationary sequences[J]. J Appl Prob, 1991;28(3):715-716
  • 7Anderson C W, Turkman K F. The joint limiting distribution of sums and maxima of stationary sequences[J]. J. Appl.Prob, 1991, 28:33-44.
  • 8Ho Hwai-Chung, Hsing Tailen. On the asymptotic joint distribution of the sum and maximum of stationary normal random variables[J]. J. Appl. Prob, 1996, 33:138-145.
  • 9Hsing Tailen. A note on the asymptotic independence of the sum and maximum of strongly mixing stationary random variables[J]. Ann. Prob, 1995, 23(2):938-947.
  • 10Leadbetter M R, Lindgren G, Rootzen H. Extremes and related properties of stationary sequences and processes[M]. New York: Springer, 1983.

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二级引证文献4

应用数学学报
2004年 第1期

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