The Annals of Applied Probability

Poisson Approximations for $r$-Scan Processes

Amir Dembo and Samuel Karlin

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Abstract

Let $X_i$ be positive i.i.d. random variables (or more generally a uniformly mixing positive-valued ergodic stationary process). The $r$-scan process induced by $\{X_i\}$ is $R_i = \sum^{i+r-1}_{k=i} X_k, i = 1, 2, \ldots, n - r + 1$. Limiting distributions for the extremal order statistics among $\{R_i\}$ suitably normalized (and appropriate threshold values $a = a_n$ and $b = b_n$) are derived as a consequence of Poisson approximations to the Bernoulli sums $N^-(a) = \sum^{n+r-1}_{i=1} W^-_i(a)$ and $N^+(b) = \sum^{n-r+1}_{i=1}W^+_i(b)$, where $W^-_i(a) \lbrack W^+_i(b) \rbrack = 1$ or 0 according as $R_i \leq a (R_i > b)$ occurs or not. Applications include limit theorems for $r$-spacings based on i.i.d. uniform $\lbrack 0, 1 \rbrack$ r.v.'s, for extremal $r$-spacings based on i.i.d. samples from a general density and for the $r$-scan process with a variable time horizon.

Article information

Source
Ann. Appl. Probab., Volume 2, Number 2 (1992), 329-357.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1177005707

Digital Object Identifier
doi:10.1214/aoap/1177005707

Mathematical Reviews number (MathSciNet)
MR1161058

Zentralblatt MATH identifier
0761.60018

JSTOR
links.jstor.org

Subjects
Primary: 60F05: Central limit and other weak theorems
Secondary: 60E20 60G50: Sums of independent random variables; random walks

Keywords
$r$-scans $r$-spacings extremal distributions Poisson approximation

Citation

Dembo, Amir; Karlin, Samuel. Poisson Approximations for $r$-Scan Processes. Ann. Appl. Probab. 2 (1992), no. 2, 329--357. doi:10.1214/aoap/1177005707. https://projecteuclid.org/euclid.aoap/1177005707


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