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Non-homogeneously paced random records and associated extremal processes

Published online by Cambridge University Press:  14 July 2016

Donald P. Gaver  and
Patricia A. Jacobs
Donald P. Gaver
Affiliation:
Naval Postgraduate School, Monterey
Patricia A. Jacobs
Affiliation:
Stanford University
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Abstract

A study is made of the extremal process generated by i.i.d. random variables appearing at the events of a non-homogeneous Poisson process, 𝒫. If 𝒫 has an exponentially increasing rate function, then records eventually occur in a homogeneous Poisson process. The size of the latest record has a classical extreme value distribution.

Keywords

RECORDSPOISSON PROCESSEXTREME VALUESEXTREMAL PROCESS
Type
Research Papers
Information
Journal of Applied Probability , Volume 15 , Issue 3 , September 1978 , pp. 552 - 559
Copyright
Copyright © Applied Probability Trust 1978 

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