A characteristic martingale related to the counting process of records
Author | dc.contributor.author | Gouet Bañares, Raúl | es_CL |
Author | dc.contributor.author | López, F. Javier | es_CL |
Author | dc.contributor.author | Sanz, Gerardo | es_CL |
Admission date | dc.date.accessioned | 2008-05-14T14:04:50Z | |
Available date | dc.date.available | 2008-05-14T14:04:50Z | |
Publication date | dc.date.issued | 2007 | es_CL |
Cita de ítem | dc.identifier.citation | JOURNAL OF THEORETICAL PROBABILITY Vol. 20 SEP 2007 3 443-455 | es_CL |
Identifier | dc.identifier.uri | https://repositorio.uchile.cl/handle/2250/124692 | |
General note | dc.description | Publicación ISI | es_CL |
Abstract | dc.description.abstract | Let (Xn) be a sequence of nonnegative, integrable, independent and identically distributed random variables, with common distribution function F. We consider the problem of finding all distribution functions F such that N-n - cM(n) is a discrete time martingale, where Nn is the counting process of upper records, M-n = max{X-1,..., X-n} is the process of partial maxima and c is a positive constant. We solve the problem by explicitly giving the solution with finite support and using this for constructing the solution for the general case by a limiting process. We show that the set of solutions can be parameterized by their support and the mass at the leftmost point of the support. | es_CL |
Lenguage | dc.language.iso | en | es_CL |
Keywords | dc.subject | characterization of distributions | es_CL |
Area Temática | dc.subject.other | Statistics & Probability | es_CL |
Título | dc.title | A characteristic martingale related to the counting process of records | es_CL |
Document type | dc.type | Artículo de revista |
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