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Abstract Details

Activity Number: 291
Type: Contributed
Date/Time: Tuesday, July 31, 2012 : 8:30 AM to 10:20 AM
Sponsor: IMS
Abstract - #305533
Title: Inferences of Generalized Extreme Value Distribution Based on Record Values
Author(s): Mohammad Ahsanullah*+
Companies: Rider University
Address: Dept. of Management Sciences, Lawrenceville, NJ, 06840, United States
Keywords: Record Values, Characterization, Generalized Extreme Value Distribution

Let X(1),X(2),.. X(n) be n independent and identically distributed random variables. Consider M(n) = Max{X(1),X(2),...,X(n)}. It is knowm that that there exists only three limiting ( as n tends to infinity) distributions for the suitably centered and normalized M(n). These three distributions are members of generalized extreme value (gev)distribution. In this talk some distributional properties of the record values from gev will be given. Based on these distributional properties several characterizations of these three distributions will be presented.

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