Max-Compound Cox Processes. I
Journal Article
·
· Journal of Mathematical Sciences
- Russian Academy of Sciences, Federal Research Center “Computer Science and Control” (Russian Federation)
Extreme values are considered in samples with random size that have a mixed Poisson distribution that is generated by a doubly stochastic Poisson process. Some inequalities are proved relating the distributions and moments of extrema with those of the leading process (the mixing distribution). Limit theorems are proved for the distributions of max-compound Cox processes, and limit distributions are described. An important particular case of the negative binomial distribution of a sample size corresponding to the case where the Cox process is led by a gamma Lévy process is considered, explaining a possible genesis of tempered asymptotic models.
- OSTI ID:
- 22921370
- Journal Information:
- Journal of Mathematical Sciences, Journal Name: Journal of Mathematical Sciences Journal Issue: 6 Vol. 237; ISSN JMTSEW; ISSN 1072-3374
- Country of Publication:
- United States
- Language:
- English
Similar Records
Some functional limit theorems for compound Cox processes
Max-Plus Stochastic Control and Risk-Sensitivity
Scale Mixtures of Frechet Distributions as Asymptotic Approximations of Extreme Precipitation
Journal Article
·
Wed Jun 08 00:00:00 EDT 2016
· AIP Conference Proceedings
·
OSTI ID:22608966
Max-Plus Stochastic Control and Risk-Sensitivity
Journal Article
·
Sun Aug 15 00:00:00 EDT 2010
· Applied Mathematics and Optimization
·
OSTI ID:21480260
Scale Mixtures of Frechet Distributions as Asymptotic Approximations of Extreme Precipitation
Journal Article
·
Wed Nov 14 23:00:00 EST 2018
· Journal of Mathematical Sciences
·
OSTI ID:22773698