Extreme value theory for suprema of random variables with regularly varying tail probabilities

DOI10.1016/0304-4149(86)90113-4zbMath0598.60026OpenAlexW2072764321MaRDI QIDQ1079865

Tailen Hsing

Publication date: 1986

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(86)90113-4

zbMATH Keywords

regular variationextreme valueweak limits

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (4)

Extreme value theory for dependent sequences via the Stein-Chen method of Poisson approximation ⋮ Tail adversarial stability for regularly varying linear processes and their extensions ⋮ Extremal dependence measure and extremogram: the regularly varying case ⋮ On the estimation and application of max-stable processes

Cites Work

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• Limit laws for the maximum of weighted and shifted i.i.d. random variables
• Extremes and related properties of random sequences and processes
• Point processes and multivariate extreme values
• Limit theory for moving averages of random variables with regularly varying tail probabilities
• On the exceedance point process for a stationary sequence
• On the characterization of certain point processes
• A limit theorem for the maximum of autoregressive processes with uniform marginal distributions
• The class of subexponential distributions
• Extremes of moving averages of stable processes
• On a general random exchange model

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