The joint limiting distribution of sums and maxima of stationary sequences

The joint limiting distribution of suitably normalized partial sums and maxima in a stationary strong mixing sequence with finite variance is derived. It is found that in the limit the two components are independent. This generalizes Chow and Teugels' result for independent sequences. Motivatio...

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Bibliographic Details
Published in:Journal of applied probability 1991-03, Vol.28 (1), p.33-44
Main Authors: Anderson, C. W., Turkman, K. F.
Format: Article
Language:English
Subjects:
Average speed
Distribution functions
Exact sciences and technology
Gusts
Integers
Mathematical maxima
Mathematics
Partial sums
Probability and statistics
Probability theory and stochastic processes
Random variables
Research Papers
Sciences and techniques of general use
Statistical variance
Wind
Wind velocity
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Summary:The joint limiting distribution of suitably normalized partial sums and maxima in a stationary strong mixing sequence with finite variance is derived. It is found that in the limit the two components are independent. This generalizes Chow and Teugels' result for independent sequences. Motivation for the present study comes from a statistical problem in the analysis of extreme winds.
ISSN:0021-9002
1475-6072
DOI:10.2307/3214738