Convergence to type I distribution of the extremes of sequences defined by random difference equation

Details Convergence to type I distribution of the extremes of sequences defined by random difference equation Convergence to type I distribution of the extremes of sequences defined by random difference equation

2011-06-21

arxiv.org/abs/1106.4281v1

Mathematics

Probability

to appear in Stochastic Processes and their Applications

Scientific paper

10.1016/j.spa.2011.06.007

We study the extremes of a sequence of random variables $(R_n)$ defined by the recurrence $R_n=M_nR_{n-1}+q$, $n\ge1$, where $R_0$ is arbitrary, $(M_n)$ are iid copies of a non--degenerate random variable $M$, $0\le M\le1$, and $q>0$ is a constant. We show that under mild and natural conditions on $M$ the suitably normalized extremes of $(R_n)$ converge in distribution to a double exponential random variable. This partially complements a result of de Haan, Resnick, Rootz\'en, and de Vries who considered extremes of the sequence $(R_n)$ under the assumption that $\P(M>1)>0$.

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