A limit theorem for extreme values of discrete random variables and its applications
Author:
I. K. Matsak
Translated by:
S. V. Kvasko
Journal:
Theor. Probability and Math. Statist. 101 (2020), 217-231
MSC (2020):
Primary 60K25, 60F15, 60G70
DOI:
https://doi.org/10.1090/tpms/1122
Published electronically:
January 5, 2021
Full-text PDF
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Additional Information
Abstract: Almost sure asymptotic behavior of extreme values of discrete random variables is studied. Applications of the main result on the asymptotics are discussed to birth and death processes as well as to length processes describing the length of a queue in a queuing system.
References
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- Janos Galambos, The asymptotic theory of extreme order statistics, John Wiley & Sons, New York-Chichester-Brisbane, 1978. Wiley Series in Probability and Mathematical Statistics. MR 489334
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- B. V. Dovgaĭ and Ī. K. Matsak, Asymptotic behavior of the extreme values of the queue length in $M/M/m$ queuing systems, Kibernet. Sistem. Anal. 55 (2019), no. 2, 171–179 (Ukrainian, with English, Russian and Ukrainian summaries); English transl., Cybernet. Systems Anal. 55 (2019), no. 2, 321–328. MR 3927561
- Hirohisa Hatori, Some theorems in an extended renewal theory. I, K\B{o}dai Math. Sem. Rep. 11 (1959), 139–146. MR 110119
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- Samuel Karlin, A first course in stochastic processes, Academic Press, New York-London, 1966. MR 0208657
- Samuel Karlin and James McGregor, The classification of birth and death processes, Trans. Amer. Math. Soc. 86 (1957), 366–400. MR 94854, DOI https://doi.org/10.1090/S0002-9947-1957-0094854-8
- Michael J. Klass, The Robbins-Siegmund series criterion for partial maxima, Ann. Probab. 13 (1985), no. 4, 1369–1370. MR 806233
- M. R. Leadbetter, Georg Lindgren, and Holger Rootzén, Extremes and related properties of random sequences and processes, Springer Series in Statistics, Springer-Verlag, New York-Berlin, 1983. MR 691492
- Ī. K. Matsak, Asymptotics of the behavior of the extreme values of random variables. The discrete case, Ukraïn. Mat. Zh. 68 (2016), no. 7, 945–956 (Ukrainian, with English and Russian summaries); English transl., Ukrainian Math. J. 68 (2016), no. 7, 1077–1090. MR 3552038, DOI https://doi.org/10.1007/s11253-016-1278-2
- Richard F. Serfozo, Extreme values of birth and death processes and queues, Stochastic Process. Appl. 27 (1988), no. 2, 291–306. MR 931033, DOI https://doi.org/10.1016/0304-4149%2887%2990043-3
- Frank Spitzer, Principles of random walk, The University Series in Higher Mathematics, D. Van Nostrand Co., Inc., Princeton, N.J.-Toronto-London, 1964. MR 0171290
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References
- C. W. Anderson, Extreme value theory for a class of discrete distribution with application to some stochastic processes, J. Appl. Prob. 7 (1970), 99–113. MR 256441
- S. Asmussen, Extreme value theory for queues via cycle maxima, Extremes 1 (1998), 137–168. MR 1814621
- J. W. Cohen, Extreme values distribution for the M/G/1 and GI/M/1 queueing systems, Ann. Inst. H. Poincare., Sect. B 4 (1968), 83–98. MR 0232466
- J. Galambos, The Asymptotic Theory of Extreme Order Statistics, Wiley, New York–Chichester–Brisbane–Toronto, 1978. MR 489334
- B. V. Gnedenko, Sur la distribution limit du terme maximum d‘une serie aleatoire, Ann. Math. 44 (1943), no. 3, 423–453. MR 8655
- B. V. Gnedenko and I. N. Kovalenko, Introduction to Queueing Theory, “Nauka”, Moscow, 1966; English transl. Birkhäuser, Boston, 1989. MR 0230395
- B. V. Dovhai and I. K. Matsak, Asymptotic behavior of extreme values of queue lengths in M/M/m systems, Kibernetika System. Anal. 55 (2019), no. 2, 171–179; English transl. in Cybernetics Systems Anal. 55 (2019), no. 2, 321–328. MR 3927561
- H. Hatori, Some theorems in an extended renewal theory I, Kodai Math. Semin. Repts. 11 (1959), 139–146. MR 110119
- D. L. Iglehart, Extreme values in the GI/G/1 queue, Ann. Math. Statist. 43 (1972), 627–635. MR 305498
- S. Karlin, A First Course in Stochastic Processes, Academic Press, New York, 1968. MR 0208657
- S. Karlin and J. McGregor, The classification of birth and death processes, Trans. Amer. Math. Soc. 86 (1957), 366–400. MR 94854
- M. J. Klass, The Robbins–Siegmund criterion for partial maxima, Ann. Probab. 13 (1985), 1369–1370. MR 806233
- M. Leadbetter, G. Lindgren, and H. Rootzen, Extremes and Related Properties of Random Sequences and Processes, Springer-Verlag, New York–Heidelberg–Berlin, 1983. MR 691492
- I. K. Matsak, Asymptotic behavior of the extreme values of random variables. Discrete case, Ukr. Matem. Zh. 68 (2016), 1077–1090; English transl. in Ukrainian Math. J. 68 (2016), 945–956. (Ukrainian) MR 3552038
- R. F. Serfozo, Extreme values of birth and death processes and queues, Stoch. Process. Appl. 27 (1988), 291–306. MR 931033
- F. Spitzer, Principles of Random Walk, Springer, Princeton–Toronto–New York–London, 1964. MR 0171290
- O. K. Zakusylo and I. K. Matsak, On extreme values of some regenerative processes, Teor. Imovirnost. Matem. Statyst. 97 (2017), 58–71; English transl. in Theory Probab. Math. Statist. 97 (2018), 57–71. MR 3745999
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Additional Information
I. K. Matsak
Affiliation:
Faculty of Computer Science and Cybernetics, Kyiv National Taras Shevchenko University, Volodymyrs’ka Street, 64/13, Kyiv, 01601, Ukraine
Email:
i.m.k@ukr.net
Keywords:
Maximums of independent random variables,
almost sure asymptotics,
birth and death processes,
queuing systems
Received by editor(s):
June 20, 2019
Published electronically:
January 5, 2021
Article copyright:
© Copyright 2020
American Mathematical Society