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Logarithmic asymptotics for multidimensional extremes under nonlinear scalings

  • K.M. Kosinski
  • , M.R.H. Mandjes

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

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Abstract

Let W = {Wn: n ¿ N} be a sequence of random vectors in Rd, d = 1. In this paper we consider the logarithmic asymptotics of the extremes of W, that is, for any vector q > 0 in Rd, we find that logP(there exists n ¿ N: Wn u q) as u ¿ 8. We follow the approach of the restricted large deviation principle introduced in Duffy (2003). That is, we assume that, for every q = 0, and some scalings {an}, {vn}, (1 / vn)logP(Wn / an = u q) has a, continuous in q, limit JW(q). We allow the scalings {an} and {vn} to be regularly varying with a positive index. This approach is general enough to incorporate sequences W, such that the probability law of Wn / an satisfies the large deviation principle with continuous, not necessarily convex, rate functions. The equations for these asymptotics are in agreement with the literature.
Original languageEnglish
Pages (from-to)68-81
JournalJournal of Applied Probability
Volume52
Issue number1
DOIs
Publication statusPublished - 2015

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