Tail expansions for random record distributions

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Authors

  • Rudolf Grübel
  • Niklas Von Öhsen

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Original languageEnglish
Pages (from-to)365-382
Number of pages18
JournalMathematical Proceedings of the Cambridge Philosophical Society
Volume130
Issue number2
Publication statusPublished - Mar 2001

Abstract

The random record distribution ν associated with a probability distribution μ can be written as a convolution series, ν = Σn=1∞(n + 1)-1μ(Black star)n. Various authors have obtained results on the behaviour of the tails ν((cursive Greek chi, ∞)) as cursive Greek chi → ∞, using Laplace transforms and the associated Abelian and Tauberian theorems. Here we use Gelfand transforms and the Wiener-Lévy-Gelfand Theorem to obtain expansions of the tails under moment conditions on μ. The results differ notably from those known for other convolution series.

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Cite this

Tail expansions for random record distributions. / Grübel, Rudolf; Von Öhsen, Niklas.
In: Mathematical Proceedings of the Cambridge Philosophical Society, Vol. 130, No. 2, 03.2001, p. 365-382.

Research output: Contribution to journal › Article › Research › peer review

Grübel R, Von Öhsen N. Tail expansions for random record distributions. Mathematical Proceedings of the Cambridge Philosophical Society. 2001 Mar;130(2):365-382. doi: 10.1017/S0305004100004746, 10.15488/2706
Grübel, Rudolf ; Von Öhsen, Niklas. / Tail expansions for random record distributions. In: Mathematical Proceedings of the Cambridge Philosophical Society. 2001 ; Vol. 130, No. 2. pp. 365-382.
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