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The joint limiting distribution of sums and maxima of stationary sequences

Published online by Cambridge University Press:  14 July 2016

C. W. Anderson  and
K. F. Turkman
C. W. Anderson*
Affiliation:
University of Sheffield
K. F. Turkman*
Affiliation:
CEAUL, University of Lisbon
*
∗Postal address: Department of Probability and Statistics, The University, Sheffield S3 7RH, UK.
∗∗Postal address: DEIOC, Bloco C/2, Campo Grande, Cidade Univ., 1700 Lisboa, Portugal.
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Abstract

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.

Keywords

EXTREME VALUESSTRONG MIXINGWIND STATISTICSGUMBEL DISTRIBUTIONFRECHET DISTRIBUTION
Type
Research Papers
Information
Journal of Applied Probability , Volume 28 , Issue 1 , March 1991 , pp. 33 - 44
Copyright
Copyright © Applied Probability Trust 1991 

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References

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