Extremal Limit Theorems for Observations Separated by Random Waiting Times
نویسندگان
چکیده
In certain applications, one makes observations separated by random waiting times. In this paper we develop extreme value theory for such processes. In the case where the waiting times between observations have an infinite mean, the limit process is an extremal process subordinated to an inverse stable subordinator. The probability that the limit process remains below a threshold is also computed.
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