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JOURNALS // Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika // Archive

Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2012 Number 3, Pages 18–23 (Mi vmumm491)

Mathematics

Limit theorems for maxima of some dependent random sums

T. V. Kuznetsova

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: A family of extrema having form
$$ Y_{mn}=\max_{1\le i \le m}\sum_{j=1}^n X_{ij},\qquad m,n\ge1, $$
is considered, here the random variables $\{X_{ij}\}$, $i\ge1$, $j\ge1$, are dependent by columns (with identical $j$) and independent by rows (with different $j$). The asymptotics of $Y_{mn}$ for $m,n\to\infty$ is studied. Three particular cases are considered: a normal distribution, a Laplace distribution, and an $\alpha$-stable distribution.

Key words: maxima, random sums, $\alpha$-stable distribution, Frechet distribution.

UDC: 519.2

Received: 30.03.2011


 English version:
Moscow University Mathematics Bulletin, Moscow University Mеchanics Bulletin, 2012, 67:3, 107–111

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