Graniczne dystrybuanty wartości ekstremalnych dla zależnych ciągów zmiennych losowych

• Authors: Łukasz Kuźmiński

Title variants

EN

Limiting distribution function of extreme values for the dependent sequences random variables

• Languages of publication: PL

Abstracts

EN

In the article the outline of asymptotic theory of extreme values has been intro-duced for the application to finance, hydrology and insurance. The study includes the theo-rems and the definitions which give the possibility to appoint the limiting distribution func-tion for the distributions of maximum in three cases. The first case concerns the sequence independent random variables. The second case concerns the stationary processes of random variables for which the conditions D(un) and D’(un) are satisfied (i.e. “the extinguishing de-pendence”). The last case concerns the stationary processes for which the conditions D(un) and D’(un) are not satisfied.

Keywords

EN

order statistics; limiting distribution function of extreme; dependence conditions D(un) and D’(un); extreme index

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
• Journal: Econometrics. Ekonometria. Advances in Applied Data Analytics
• Year: 2013
• Issue: 2(40)
• Pages: 115-125

Contributors

author

Łukasz Kuźmiński

• Uniwersytet Ekonomiczny we Wrocławiu

References

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