While there are infinitely many records in univariate case, there occur only finitely many in the case of multivariate series. Consequently, there is a terminal complete record with probability one. We compute the distribution of the random total number of complete records and investigate the distribution of the terminal record. For complete records, the sequence of waiting times forms a Markov chain, but differently from the univariate case, now the state infinity is an absorbing element of the state space.

On multivariate records from random vectors with independent components

KHORRAMI CHOKAMI, AMIR;Padoan, Simone
2018

Abstract

While there are infinitely many records in univariate case, there occur only finitely many in the case of multivariate series. Consequently, there is a terminal complete record with probability one. We compute the distribution of the random total number of complete records and investigate the distribution of the terminal record. For complete records, the sequence of waiting times forms a Markov chain, but differently from the univariate case, now the state infinity is an absorbing element of the state space.
2018
Falk, Michael; KHORRAMI CHOKAMI, Amir; Padoan, Simone
File in questo prodotto:
File Dimensione Formato  
Complete_Independent_final.pdf

non disponibili

Descrizione: versione accettata
Tipologia: Documento in Pre-print (Pre-print document)
Licenza: NON PUBBLICO - Accesso privato/ristretto
Dimensione 247.5 kB
Formato Adobe PDF
247.5 kB Adobe PDF   Visualizza/Apri
Complete_Independent_final_rev_2.pdf

non disponibili

Descrizione: articolo
Tipologia: Documento in Post-print (Post-print document)
Licenza: NON PUBBLICO - Accesso privato/ristretto
Dimensione 318 kB
Formato Adobe PDF
318 kB Adobe PDF   Visualizza/Apri
on_multivariate_records_from_random_vectors_with_independent_components.pdf

non disponibili

Descrizione: Articolo
Tipologia: Pdf editoriale (Publisher's layout)
Licenza: NON PUBBLICO - Accesso privato/ristretto
Dimensione 128.85 kB
Formato Adobe PDF
128.85 kB Adobe PDF   Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/4000761
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 3
  • ???jsp.display-item.citation.isi??? 3
social impact