Record Values and Maxima Author(s): Sidney I. Resnick Source: The Annals of Probability, Vol. 1, No. 4 (Aug.

, 1973), pp. 650-662 Published by: Institute of Mathematical Statistics Stable URL: http://www.jstor.org/stable/2959435 . Accessed: 04/10/2013 10:14
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The Annals of Probability 1973,Vol. 1, No. 4, 650-662

RECORD VALUES AND MAXIMA BY SIDNEY I. RESNICK Stanford University

{X", n _ 1} are i.i.d. random variables withcontinuous dfF(x). Xj is a record value of this sequence if Xj > max {X1, * , Xj-l}. We compare

maxima {Ma} = {max(XI, ***, X")}I. Conditions for the relative stability

of thesequenceofrecord thebehavior values{XLn} withthatofthesample

(a.s. and i.p.) of {XL"} are givenand in each case theseconditions imply of {Ma}. In particular the relativestability regularvariation of R(x) _ -log (1 - F(x)) is an easilyverified condition whichinsures a.s. stability limit of {XL }, {M,} and { E=1 Mj}. Concerning laws,XL, mayconverge without{M,} havinga limitdistribution in distribution and vice versa. on F(x) insurethat both sequences conditions Suitable differentiability have a limitdistribution.

and preliminaries. Let {X,,,n > 1} be a sequence of independent, 1. Introduction identicallydistributed (i.i.d.) random variables with common distribution F(.). Xj > max {X1, *.., Xj_1}. By convention X, is a recordvalueof thissequence iff X1is a record value. The indices at which record values occur are given by the random variables {L,,, n > 01 definedby Lo = 1, L_ = min {]j j > L,-,, Xj > that F(.) is continuous in order to be able to XL_-1}. We assume throughout use nonparametric techniquesin our analysis. of the {XL,} sequence to the The emphasisof this paper is on the relationships are sequenceof maxima{M"} whereM,, = max {X1, ***, X"}. These relationships weaker than expected,even though{XL,,} is an embedded subsequence of {M,}. stable(henceforth A sequence of randomvariables {Z.} is relatively just stable) if there exist normalizing constants {B.} such that Zn/Bn-+ 1 as n -* oo. If the convergenceis with probability1 then{ZJ} is almostsurely (a.s.) stablewhile if the convergenceis in measure we say {Z.} is stableinprobability (i.p.). conditionsfor{XLI, {MI,}and In the followingsectionswe determine stability { E ,, MJ and show {XL I stable implies {M,} stable but not the reverse. The approach is to reduce questionsabout extremesto questionsabout sums of i.i.d. random variables. In the last section we discuss the relationship betweenthe and existenceof limitlaws for{XL}. existenceof limitlaws for {AMn}
A central role will be played by R(x) = -log (I - F(x)) and its inverse R maps [-00, R-1(x) = inf{y I R(y) > x}. Both R and R-1 are non-decreasing; oo] onto [0, o0]. If y = R(x) thenwe have R-1(y-) < x < R-1(y), but forcon-

venience we shall simplywrite x = R-'(y). The asymptotics we deal with will be unaffected by this convention.

ReceivedFebruary 14, 1972;revised January 2, 1973. AMS 1970subject 60F05. classifications. Primary andphrases.Recordvalues,maxima,extreme Key words values,regular variation, limiting relative distributions, stability. 650

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RECORD

VALUES

AND MAXIMA

651

of R(x) is thatifa randomvariable X has distribution This significant property distributed: P[R(X) ? x] = 1 - e-x for x ? 0. F(x), thenR(X) is exponentially The followingbasic lemma was presentedin [16]:
LEMMA 1. {X., n ? i1 is an i.i.d. sequence withP[X,, ? x] = 1, ezx, x ? 0. XL l(X, XJ1 Z ThenXL = Yj where{Yj,] ? O 01is an i.i.d. distribution. to thesame exponential sequencedistributed according

This lemma and the fact that R is non-decreasing and continuous lead to the followingrepresentations: (1)

~~~R(XL )

z YJ E~v=0

XL

>R1E%

Y')

where fY6,] ? random variables. ~ 0} are i.i.d. exponentiallydistributed It is convenientto definethe rightend x0 of a distributionfunctionF(x) as X0= sup x IF(x) < I}. To every distributionfunctionF(x) corresponds the associated distribution F(a) (x) definedto be that distributionwhose R-functionis Ri(x). Formally: 1 - F~ for -~ ?o< x_ a)(X) =_ e-R(x) 'The theoryof 'limitlaws -for record values is closely related to extremevalue 1) be i.i.d. with theory(see [16]). The followingis pertinent: Let {X., n ?,,> common distributionF(x). If there exist normalizing constants a, > 0, such that (2) P[a j1(M,
-

/)

x]

=-

F11a x + j)-

G(x)

then G belongs to the typeof one of the threeextreme where G is nondegenerate, value distributions [2], [10]: A(x) (Pjx) 1Ia(X)
exp{-e-x} -co

< x <

00

if x <0 , if x?~~0 if x < 0, if x?>0

=ex pf-X-aJ
exp{I{I-X)aJ
I

where a is a positive constant. Abbreviate (2) by F c DM(G) which indicates to G. that normalizedmaxima fromF convergein distribution conH(.) ifnormalizing Similarly{XL}n has limitingrecordvalue distribution stantsa. > 0, b. exist such that (3)
P[XL

? a x + bn]

H(x)

where H is nondegenerate. Write R c DR(H) to indicate weak convergenceof the record values to H. In [16] it was proved that the limitingrecord value distributionsare of the form N( - log (- log G(x))) where N is the standard normal distributionand G is an extreme value distribution. Further R(x) G F~a)(x) c DM(G(x)). DR(N(- log (-log G(x))) iffthe associated distribution and extreme The equivalence betweenrecord value behavior of a distribution

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652

SIDNEY I. RESNICK

value behavior of the associated distributionis valid also for stabilityi.p. but breaks down fora.s. stability. 2. Stability in probability.In this and the followingsectionwe assume F has infinite end. In the contrarycase when x0 < oo we have Mn x0a.s. and right a.s. XLn XO 1 - F(x) is rapidly It is well known([2], [10]) that{M.} is stable i.p. iff varying:
-

(4)

lim,

(1 - F(tx))/(1 - F(x)) = 0

forall t > 1. In this case it is always true that M./R-'(log n) Up 1.

THEOREM

1. Thefollowing are equivalent:

--Up

(i) ThereexistB. > 0 such thatXL,/B. (ii) XL /R-'(n) >p 1. (iii) lim, (iv) lima.
PROOF.

1.

{R(tx) {R(tx)

R(x)}/Ri(tx) = oo for all t > 1. R(x)}/Ri(x) = oo for all t > 1.

The equivalence of (i), (ii), (iii) was proven in [16], Theorem2.1 and obviously (iii) implies (iv). Given (iv) suppose (iii) does not hold. Then there exist t > 1, x -0 oo and c < oo such that lim, . {R(tx,) - R(x.)}/RI(tx.) = c. This with (iv) entails lim,,. R(x,)/R(tx,) = 0 so that
{R(tx.) R(x,)}/Ri(tx,) = {Ri(tx,) = (1 Ri(xj)}{Ri(txj) + RI(x)} + Ri(xj)}/Ri(txn)
-> 00

o(I)){R1(txn)

as n -

0oo

which gives a contradiction. This completesthe proof.

THEOREM 2. {XL } is stablei.p. iff maximaof i.i.d. random variables distributed to theassociateddistribution according F'a)(x) are stablei.p.; i.e., iff1 - F(a)(x) is rapidly varying. PROOF. From (iii) of Theorem 1 we have:
00 <- {R(tx) -

R(x)}/RI(tx) = {RI(tx)

R1(x)}{R1(tx) + R1(x)}/Ri(tx)i
F(a,

as x

Since the second factor is bounded by 2, we must have Ri(tx)

-0oo

for all t >

is almost the same.

1. This is equivalent to

satisfying (4).

Ri(x) -- oo The converse

COROLLARY 1. {XL} is stablei.p. iff R '((log x)2) is slowlyvarying iffR-'(x + cxi) - R-'(x) as x -+ oo for all real c.

x-1) is slowly varying([2]), SO {XL.} is stable iff F(a)(x) satisfies (4) iff(Ri)-1(log x) = R-'((log x)2) is slowly varying. The second statement of the corollaryfollowsby a change of variable.
-

PROOF. A distribution H satisfies (5) iffH-1(

THEOREM 3. not true.

XL /R-'(n) -U>p 1 implies M./R-1(log n) -->p 1, but the converse is

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RECORD VALUES AND MAXIMA PROOF.

653

R(x) -+ l -F(x). to the converse consider R(x) = (log x)2, x > 1. Then As a counterexample = R-1(logy) exp{(logy)i} is slowly varying so that {Mj} is stable i.p., but R-'((logy)2) = y is not slowly varying. Hence {XLq,,} fails to be stable i.p. 3. Almostsurestability.In discussinga.s. stabilityof {XL }, it is clear from except{R-'(n)}. constants Theorem 1 that we need considerno othernormalizing log log n)i For what follows it is convenient to set Zn = (Z>% Yj - n)/(2n where { Yj, j > 0) are the i .i.d. exponentiallydistributedrandom variables of (1). It follows by the Law of the IteratedLogarithm[12] that representation almost surely:

If {XL } is stable i.p. thenTheorem 1(iv) holds, whichentailsR(tx) oo as x -0> oo for all t > 1. This is equivalent to the rapid variationof

(5)
THEOREM

liminfer,-. = I1 Zn, XL /R-'(n) = 1 a.s. is: condition 4. A sufficient for lima O. limSUP,,,,. Zn'= I ,
t: lim, 00R-'(s + t(s log log s)i)/R-'(s) = 1 .

(6)

For all real

that the convergencein (6) REMARKS CONCERNING CONDITION (6). Note first on finitet intervals. By the inversiontechniquedescribedin [6] (see is uniform condition: also [2], [4]), (6) is fullyequivalent to the more easily verified (7) Vx > 1: limt,. {R(tx) - R(t)}/(2R(t)log log R(t))i =

oo .

for It is clear that (7) implies Theorem 1 (iii), so either (6) or (7) is sufficient < a < oo XL /R-'(n) -np 1. Note if R-1 is regularlyvaryingwithexponenta, 0 (equivalent to R regularlyvaryingwith exponenta-' via [2]), then (6) or (7) is satisfied.
PROOF OF THEOREM

4. Keeping in mind the uniformconvergencein (6), we 0 R-'(E%_ Y.)/R-'(n)

have:

XL /R-1(n)= lim,_O0
=

limD00R-1(n + Zn(2nlog log n)i)/R-1(n) _ 1 a.s.

of Zn and where the first equality followsby (1), the second by the definition the last by (5). but not necessaryfora.s. stability. (i) Condition (6) is sufficient A counterexamplehas been constructedby A. A. Balkema and will appear elsewhere. (ii) Almost sure stabilitywill not hold if forall x:
REMARKS.

0 < c ? 00 . R-1(t + x(2t log log t)i)/R-1(t)= eex limt.00 See [6]. about how close (6) is to a necessaryand sufficient (iii) Added information reasoning: For any continuousdistribution conditionis providedby thefollowing = so thatlim sup,,,. XL IR-1(n) > I XL IR-'(n) R-'(n + Z"(2n log log n)i)/R-1(n)

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654

SIDNEY I. RESNICK

a.s. and lim infnO. XLI/R-'(n) < 1 a.s. Hence stabilityis equivalent to 0
=
P[XLn

>

(1 + s)R1(n) io.] = P[XL_< (1 - s)R'(n)

i.o.],

for all s > 0, which from(1) is the same as: (8) P[E>0 Y3 > R((l + s)R-1(n + 1)) i.o.] = P[L 0o Yj < R((l - s)R-1(n)) i.o.] =

We wish to apply Feller's general formof the law of the iteratedlogarithm[7], but to do this we must suppose the followingmonotone convergences: (9) (10) lim,, lim {R(tx) - R(x)}/Ri(tx) {R(tx) - R(x)}/R1(x)=

o
o0

for all t > 1 (cf. Theorem 3). Supposing(9) and (10), (8) is equivalent to the convergenceof two series which in turn can be shown equivalent to the convergence of two integrals. The convergenceof the integralcorrespondingto > 1 necessitates lim infnO. convergenceof the integralcorresponding XL /R-1(n) to lim sup,,,. XLn/R-'(n) < 1. The resultis that under (9) and (10) a.s. stability of {XLJ is equivalent to 1) ( (11) Ve > 0 S0 R(y)
-

x exp

R((l - s)y) ~~~~~~RI(y) 1 ( R(y) (2

-

R((1RP(y)

s)y) ) d logR(y) < oo o ~)<o

However, in the presenceof (9) it can be proventhat(11) and (6) are equivalent, which leads to:
PROPOSITION

for XL

-> /R-1(n)

1. In thepresence and sufficient of (9) and (10) a necessary condition 1 a.s. is (6).

of otherlimitpointsbesides 1 for{XL /R-'(n)}is discussedin [6]. The possibility For what followswe need the following result[1], [17]: Suppose F(x) < 1 for all x. Then thereexist normalizingconstraintsbe, n > 1 such that M./b. -+ 1 a.s. iff (12) For all
~

0 < s < 1:
R-1(logn), n

S1 (oo.

F((1 - e)x))-1dF(x) < oo.

In this case b.
THEOREM PROOF.

5. Condition (6) is also sufficient for lim,_. Mn/R'-(logn) = 1 a.s.

Let p(n) be the numberof recordvalues in {X1, . **, X.j so thatM. = holds forpa(n) theorem logarithm (see [14]) and thisgives the XL,(,,). An iterated representation p(n) = log n + Zn*(2 log n log log log n)i wherelim Sup,-. Z.* = 1, lim inf,,. Z* =1, a.s. Hence MA/R-1(log n) = {XL (fn)/RR-(p(n))}{R-1(p(n))/R-'(logn)}

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RECORD VALUES AND MAXIMA

655

The first factorconvergesto 1 a.s. by Theorem 4, and the second factorequals R-1(logn + Zn*(2 log n log log log n)i)/R-1(log n) which convergesto 1 via (6).
REMARK.

When (9) and (10) hold, we have by Proposition1 that XL /R-1(n)= 1 a.s. lim,-O. n) = 1 a.s. MJ/R-1(log

lim n00

EXAMPLES. (i) Let R(x) = (log x)2, x > e. In Theorem3 we showed thatXL coming fromthis R-function are not stable i.p. Hence {XL} is not a.s. stable. However, (12) reduces to a convergentgamma integraland hence {Mj is a.s. stable. (ii) Let N(x) be the standard normal distribution with density n(x)Then as is well known: 1 - N(x) (2w)-ie-X2/2. n(x)/xas x -+ oo, whichentails = x jx2 as x -- oo so thatR is reguR(x) F(x)) --log n(x) + log -log (1 larly varyingexponent 2. Hence (5) is satisfied,and since R-1(x) , (2x)#as X -o 00, we have a.s.:

,0 limn

XL_/(2n)i 1
-

log n)i = 1I limn. Mn/(2

The close relationshipbetweenrecord values from the distribution F(x) and maxima from the associated distribution F(a)(x) which was shown to hold for limitlaws and stability,now breaks down: 6. Undercondition (9) if maximafrom F(a)(x) = 1-exp{-Ri(x)} are a.s. stable, thenrecordvaluesfrom F(x) = 1 - exp{-R(x)} are a.s. stable. The converse is false.
THEOREM PROOF.

of maxima from Accordingto (12), a.s. stability F(a)(x) is equivalentto

Ve,

0 <K < 1:

>exp{-(Ri(y)

Ri((1

s)y))} dRi(y) <

o0o

To show {XL } a.s. stable,we verify (7). Note, however,that a simpleproofby contradiction argument(similar to the one used in Theorem 1) shows that(7) is equivalent to (7') Vx > 1 limtO.{R(tx) - R(t)}/(2R(tx)log log R(tx))i = oo Suppose for some x > 1, (7') is false. Then there exist s > 0, yn{ ?? and a, 0 < a < oo such that: (13) limn.-o {R(y.) - R((1 - e)y.)}/(R(y.) log log R(y.))' = a. We can and do suppose that the sequence {yn}is so thinthatR(yn_)/R(yn) -O 0. Set h(y)) = {R(y) - R((1 - s)yJ/R1(y) so that from(13) we have a log R(yj)) h(yn)/(log and hence 0. So for given C, 0 < C < 1, we have for sufficiently large n, n nO say, that h(yn)< C log Ri(yn)-. Note thatRi(y) - Ri((l - s)y) < h(y). Hence, keepingin mindthat(9) entails
h(y.)/log RI(y.)
_

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656 h(y) non-decreasing, we have: S expI-(RI(y)

-

SIDNEY I. RESNICK

Rl((1 -)y))} dR'(y) > exp{ - h(y)} dR'(y) > = Ad n+i n=n S yn
>

> E This proves the first assertion.

REMARK.

1=nO e-h(y+P(RI(yn+i)

RI(y,))
-

noe-4

log Ri(yn+i)(RI(y.+1)

RI(y))

= oo n (R1(yn+1))1-C En=no

This assertioncan be proved if insteadof (9) one assumes that R-1(s + t(s log log t)i)/Ri(s) lims-,0

existsforall real t. The significance of thistypeof assumptionis explainedin [6]. To show that the converse in Theorem 6 is false, consider the R-function R(x) = (log x log log x)2, x > ee. LettingM,,a) be the maxima of i.i.d. random we can show: (i) {M.(a)} stable variablesdrawnfromthe associated distribution, i.p.; (ii) {M.(a)} not stable a.s.; (iii) {Mn}stable a.s.; and (iv) {XL}j stable a.s. The proof of (i) follows by noting that log (1 + s)x log log (1 + s)x log x log log x -> oo, which implies 1 - F(a)(x) is rapidlyvarying. The verification of (ii) comes fromshowing the integralin (12) diverges. To prove (iv), show that(7) holds. This is done mosteasily by verifying condition thesufficient (see [6] Theorem 2): limr O.O xR'(x)/(R(x) log log R(x))i = oi Finally (iv) (iii) by Theorem 5. Al3) We nextconsidera.s. stability of {I Mj}. Our resultis relatedto a theorem of Grenander[11] concerningstabilityi. p. of successive sums of minima from an i.i.d. sequence. An a.s. versionof the Grenanderresultwas later proved by 0. Frank [9]. The author is gratefulto Dr. H. Cohn for pointingout these references.
THEOREM 7. If {M.} is a.s. stable,so is {I, =1Mj}:

lim,.

E j> Mj/,>j1 R-1(log]) = 1

a.s.

varying exponenta, 0 < a < oo (equivalently If in additionR-l(x) is regularly R(x) is regularlyvaryingexponent a-1 via [2], Corollary 1.2.1), then a.s. limno, E j> Mj/nR-'(logn) = 1. PROOF. The first assertionfollows fromthe followinganalytical lemma: If large n, E a. = oo and limn_,. an > 0, b. > 0 for sufficiently a./b, = 1, then E j> aj/ILn=jb3 = 1. For the second result note that if R-1 is regularly limn_4. varying,then R-1(logx) is slowly varyingsince log x is slowly varying([2] page 21). Hence
Eij R-1(log j) sn R-1(log x) dx ~ nR-1(log n)

as n -+ oo via [8] page 281 or [2] page 15.

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RECORD VALUES AND MAXIMA

657

The Grenanderresultdoes not seem to come fromthese methods,apparently of finding 0 as n -> oo constantsbesuch thatMa - bdue to the impossibility a.s. (or even i.p. -see [10]) for the case of maxima drawn froma negative exponentialdistribution. Instead we obtain the followingdisjointregult: F(x). distribution 7'. X1,X2, * are i.i.d. withcommoncontinuous DefineZn = min {X1, * , X} and Q(x) = -log F(x). SupposeQ-l(x) = x-aL(x) as x -+ oo whereoo > a > 0 and L is slowlyvarying.Then
THEOREM

(i)
(ii)

lim ,.o ZJQ-1(log n) = 1 limn0. E

a.s.,

and

l Zj/nQ-'(log n) = 1 a.s.

recordvalue distribuof the limiting of thedomainsof attraction 4. Comparison When will both {XL } and {MJ} have value distributions. tions and the extreme limitingdistributions? That is, for a distributionF(x) with R-functionR(x), G(x), when it is true that F(x) C DM(G(x)), for some extremevalue distribution H(x). record value distribution and R(x) C DR(H(x)) forsome limiting In this section we will designatethe threelimitingrecord value distributions by N(x), Nla(x) and N2a(x) where N(x) is the standard normal distribution, Nla(x) = N(-log (-log4Da(x))), N2,(X)= N(-log (-log Vla(x))) where DFa(x) given after(2). and V1a(x) are the extremevalue distributions G(x) and {XL)} has limit law H(x) In the case that {M.} has limit distribution to (G(x), H(x)) and write we will say that the pair (F(x), R(x)) is duallyattracted (F(x), R(x))
THEOREM C

D(G(x), H(x)) .

are: for dual attraction possibilities 8. The only (F(x), R(x)) (F(x), R(x))
C

D(A(x), N(x)) D(A(x), N2a(X))

C

(F(x), R(x)) C D(A(x), Nla(x))

C

is thatF(x) condition for dual attraction Thusa necessary

PROOF.

DM(A(x)).

We use freelythe factsobtained fromthe duality: iff 1

e-RI(x)

R(x) C DR(N(-log (-log G(x)))) Suppose R(x) and hence

?

C DM(G(x)) .

DR(Nia(x)). Then ([16] Theorem 4.2) forall t > 1: limx,. {R(tx) - R(x)}/Ri(x) = a log t lima R(tx) - R(x) = oo.

This precludes 1 - F(x) being regularlyvaryingand thus F(x) i DM(QDa(x)) for all a > 0. Also R(x) C DR(Nia(x)) implies that F(x) < 1 for all x and hence in the domain of Vla(x) must have finite F(x) q DM(Va(x)) since distributions rightend. and The demonstration that R(x) e DR(N2a(x)) implies F(x) q DM(Da(x))

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658

SIDNEY

I. RESNICK

F(x) q DM(VJa(x))is almost the same as the previouscase. Now assume R(x) e end is infinite DR(N(x)). Then 1 - e-RIx, e DM(A(x)) which impliesiftheright thate-Ri'z) is rapidlyvarying:
e- Ri(t)/le-Ri(x) O 0

for all t > 1 as x -- oo. By Theorem 2 thismeans that lim,_. {R(tx)

-

R(x)}/Ri(x) =

00

forall t > 1 and this precludesthe regularvariationof 1 - F(x) so thatF(x) 1 DM($,a(x)) for any a > 0. The remainingcases are disposed of in a similar manner. Before continuingwe make the followingconventions: Let F(x) be a distriand bution with R-functionR(x) and rightend x0 (x0 < oo). Suppose the first second derivativesof R(x) exist in some neighborhoodof x0and are denoted by r(x) and r'(x) respectively. Then of typeA(x) if ultimatelyr(x) > 0 and if (i) F(x) is a VonMisesfunction if -O 0 as x -> x0. -+ 0 or equivalently r'(x)/r2(x) (1/r(x))' Mises of type function (ii) F(x) is a Von $,(x) ifxO= oo and thereexistsa > 0 such thatxr(x) -- a as x -* oo. if x0 < oo and thereexistsa > 0 of type V1Ia(x) (iii) F(x) is a VonMisesfunction such that (xO- x)r(x) -* a as x T xO. It is known (see [9] or [2] pages 109-112) that (i), (ii), (iii) are respectively forF(x) e DM(A(x)), F(x) ? DM(Ij(x)), F(x) ? DM(QJa(x)). sufficient of Returningto the contentof Theorem 8 let us show that the intersection is the domains of attractionof A(x) and the limitingrecord value distributions given by indeed nonempty. To do this, considerthe class of R-functions
Ra(X)

-(

log x)

forx > e and a > 0, , > 0. Call the correspondingdistributionFj(x). Then the followingconditionsquickly emerge: (i) For a > 1, Fa(x) is a Von Mises functionof type A(x). (ii) For a = 1, F1(x) is a Von Mises functionof type D,32(x). This follows immediatelyfromthe fact that xr,(x) = ,/2. (iii) For a < 1, Fa(x) i DM($Dr(x)) forany r > 0 and Fa(x) iZDM(A(x)). assertionfollowsquickly by showing 1 - Fa(x) is rapidlyvaryingand The first hence not regularlyvarying. The second assertioncan be proven by using the criterionforattractionto A(x) given in [2] page 76 or [13]. From (i), (ii) and (iii) and the Duality Theorem ([16] Theorem 4.1) we have the following: (i) For a > 2, Ra(X) ? DR(N(x)), Fa(X) ? DM(A(x)). (ii) For a = 2, R2(x) ? DR(N1,(x)), F2(x) ? DM(A(x)).

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RECORD VALUES AND MAXIMA

659

(iii) For 1 < a < 2, Rar(x) C DM(A(x)), q DR(Na,(x)) foranyr, Far(x) For 1 < a < 2, Ra(x) q DR(N(x)).
(iv) For a = 1, R_(x)V DR(N,,(x)) forany r, F1(x) DM(? C For a = 1, R_(x)V DR(N(x)). ,(x

Thus we see thatDM(A(x)) n DR(N(x)) # 0, and DM(A(x)) n DR(N,,(x)) + 0 for any ,3 > 0 and by symmetry considerationsit is clear that DM(A(x)) n but distribution DR(N2,(x)) / 0. Furtherit is possiblethat {Mn}has a limiting not {XL I Our most precise resultsabout the overlap of thesedomains of attractionare contained in the following: THEOREM 9. Let F(x) be a distribution with R-function R(x) and associateddistribution F(a)(x) = 1 - e-A(x) (i) If R(x) C DR(N(x)) and F(a)(x) is a Von Mises function of typeA(x), then F(x) is a VonMisesfunction of typeA(x) and F(x) e DM(A(x)). (ii) If R(x) ? DR(Nia(x)) and F(a)(x) is a Von Mises function of type$D1/2(x), thenF(x) is a VonMisesfunction of typeA(x) and F(x) ? DM(A(x)). (iii) If R(x) ? DR(N2a(x)) and F(a)(x) is a VonMises function of typeV11a2(x), thenF(x) is a VonMisesfunction of typeA(x) and F(x) ? DM(A(x)).
PROOF. Because of the Duality Theorem([16] Theorem4.1) it suffices to show: If F(x) is a Von Mises functionof typeA(x), (Da(x) or 1ffa(x) then 1- e-R2z) is Von Mises of type A(x). To prove this when F(x) is a Von Mises functionof type A(x) note (R2(x))' = 2R(x)r(x) and 1 ) as x- oo. = r 1 (x) 0 + ( (R2(x)) 2R(x)r2(x) 2R(x)

In the case that F(x) is a (I>a(x) typeVon Mises functionwe have r(x) -2 -ax as x Hence r'(x) oo ([2] page 23). But:
-

ax-'.

(R2(x))'

Mr2(x)

r'(x)+

1 2R(x)
0

termis asymptoticto The second termgoes to zero and the first

-ax
-2

2R(x)a2X-2

2aR(x)

as x -> oo. The thirdcase is handled in a similarmannerand thiscompletesthe proof. We have already seen that it is possible for {M.} to have a limitingdistribution but not {XLJ}. The conversesituationcan hold as well: It can happen that R(x) e DR(H(x)), forsome limitingrecord value distributionH(x), but F(x) is not attracted to any extreme value distribution. Thus Theorem 9 cannot be extendedto all continuousdistributions. This is surprising in view of therecent de Haan-Balkema result [5] which states that if F(x) ? DM(A(x)) then F(x) is

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660

SIDNEY I. RESNICK

close to a A(x)-typeVon Mises function F,(x) in the sense that (1 - F(x))/(l -> 1 -+ is as end of x the x0 (x0 F(x)). right Fj(x)) The followingexample by Laurens de Haan shows the possibilitythat R(x) C DR(N((x)) but F(x) i DM(A(x)) (and hence by Theorem 8 F(x) is not attracted to any extremevalue distribution). By the Duality Theorem([16] Theorem4.1) F(x) such that F(a)(x) G DM(A(x)) but F(x) 1 it suffices to exhibita distribution DM(A(x)). DefineF(a)(x) by 1 - F'a)(x) = e-R1(x) whereRi(x) = xi + 2x-* sin x, ? -oo. - e- as x Since x _ 1. ThenRI(x)-xi as 0 x > so 1-Fa(X) 1 - e-zi is a Von Mises functionof typeA(x) we have by tail the distribution equivalence [15] that F'a)(x) e DM(A(x)). Since R(x) = x + sin x + (sin2x)/4xand R(x) - (x + sin x) -> 0 as x -+ oo we have thatF(x) is tail equivalent to F1(x) = 1 - expI - (x + sin x)} and F(x) e to show F1(x) V DM(A(x)). DM(A(x)) iffF1(x) e DM(A(x)). Hence it suffices we have that if F1(x) e DM(A(x)) then thereexists Proceedingby contradiction an auxiliaryfunction f(t) ? 0 such that

..., R1(t+ xf(t)) - R1(t)= x limt

forall x where R1(t) = -log (1 - Fl(t)). The above relation must hold along where by the periodicityof sin x we have that Rl(tn+ the sequence t, = 2n7r subsequence t,' such that xf(tQ)) R1(t.) = xf(tn)+ sin xf(tn). Take a further -+ c is obtained e [0, oo]. A contradiction by showingthe incompatibility f(tt,') of the followingrelations: Rl(tn'+ xf(tn)) - Rl(tt') > xc + sin xc x Rl(tn' + xf(tn')) - Rl(tn') = oo + sin xf(tn) limn . xf(tn is clear (interpreting If c = 0 or oo thecontradiction for the case c = oo). If 0 < c < oo we have for all x that x = xc + sin xc or sin xc = x(1 - c) which is not true. This completesthe counterexample. To close this discussionof limit laws we presentsome resultsabout theshape of R(x) when R(x) is attractedto some limitingrecord value distribution. 10. SupposeR(x) ? DR(H(x)) whereH(x) is one of the threelimiting F*(x) Then thereexistsa type-A(x)VonMisesfunction recordvalue distributions. withcorresponding R*(x) such that R-function
THEOREM

F*(x)

DM(A(x))

and

R(x) , R*(x)

as x -+ xO(xOis theright end of thedistribution).

PROOF.

If R(x) e DR(Ni,(x))

then by duality we have:

=

R(x) - R*(x)

log x)

Theorem4.2, [16]). It is quicklycheckedthatthisR*(x) (see Remarksfollowing is a Von Mises function of type A(x). Similar techniquesprove the resultwhen so now suppose R(x) ? DR(N(x)) and theright end of F(x) is x,. R(x) e DR(N2ar(x))

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RECORD

VALUES

AND MAXIMA

661

Duality shows that F(a)(x) e DM(A(x)) and hence from[5] Fla)(x) is tail equivalent to a A(x)-type Von Mises function; i.e., there exist c(x), r(x) such that c(x) -- 1 and r'(x)/r2(x) 0 as x > oo and
1Fla(x)
-

c(x) exp{I- sx r(t) dt} -log c(x) +

X r(t)dt)2 =

Set R*(x) = ( X r(t)dt)2. Since

Ri(x)
-

-log (1

F aI(x)) R(x) ~ (S

$X.r(t) dt

x 5$

r(t) dt

we must have

R*(x) .

But 1 - exp { - S 0. r(t) dt) is a Von Mises functionof type A(x) and hence by Theorem 9 so is R*(x). The proofis complete. Much of this work was done while the author was a sumAcknowledgments. of Amsterdamand the mer guest of the MathematicsInstituteof the University for their Amsterdam MathematicsCenter. The author thanksthose institutions hospitality and support. at The initial draftof this paper was completedwhile theauthorwas working the Technion-IsraelInstituteof Technology. in the which were incorporated Wim Vervaat made severalhelpfulsuggestions finalversion.
REFERENCES 0. (1963). On the limitbehaviorof extreme orderstatistics. [1] BARNDORFF-NIELSEN, Ann.
Math. Statist. 34 992-1002. [2] DE HAAN, L. (1970). On Regular Variationand Its Applicationto the Weak Convergence of Sample Extremes. Mathematical Center Tracts 32, Amsterdam. [3] DE HAAN, L. and HORDIJK,A. (1972). The rate of growth of sample maxima. Ann.Math. Statist. 43 1185-1196. [4] DE HAAN, L. (1972). Equivalence classes of regularlyvarying functions. Technical Report No. 41, Department of Statistics, Stanford Univ. [5] DE HAAN, L. and BALKEMA,A. (1972). On R. Von Mises' condition for the domain of attraction of exp{-e-x}. Ann. Math. Statist. 43 1352-1354. [6] DE HAAN, L. and RESNICK, S. I. (1972). Almost sure limit points of record values. Technical Report No. 39, Department of Statistics, Stanford Univ. To appear J Appl. Probability. [7] FELLER, W. (1946). The law of the iterated logarithm for identically distributedrandom variables. Ann. of Math. 47 631-638. [8] FELLER, W. (1966). An Introduction to Probability Theoryand Its Applications2. Wiley, New York. [9] FRANK, 0. (1966). Generalization of an inequality of Hajek and Renyi. Skand. Aktuari-

[10]
[11]

GNEDENKO,
GRENANDER,

toire. Ann. of Math. 44 423-453. U. (1965). A limit theorem for sums of minima of stochastic variables. Ann. Math. Statist. 36 1041-1042. [12] HARTMAN, P. and WINTNOR, A. (1941) On the law of the iterated logarithm. Amer. J.

etidskr. Haft 1-2,85-89. B. V. (1943). Sur la distribution limitedu terme maximum d'une seriealea-

Math.63 169-176.

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662

SIDNEY

I. RESNICK

on Combinatorial Methodsin Probability Theory, August1-10,Mathematisk InstiDenmark. tut,AarhusUniversitet, and itsapplications.J.Appl.Probability 8 136-156. [151 RESNICK, S. I. (1971). Tail equivalence [16] RESNICK, S. I. (1973). Limit laws forrecordvalues. J. Stoch. Processes and TheirAppl. 1 67-82. [17] RESNICK, S. I. and TOMKINS,R. J. (1972). Almostsurestability of maxima. To appear [18] TATA, M. N. (1969). On outstanding valuesin a sequenceof random variables. Z. Wahrund Verw. Gebiete 12 9-20. scheinlichkeitstheorie de la plus grandede n valeurs. Selected Papers 2. [19] VON MISES, R. (1936). La distribution American Mathematical Society, Providence, 271-294.
DEPARTMENT STANFORD STANFORD, OF STATISTICS UNIVERSITY CALIFORNIA

J. Math. Anal. Appl. 28 440-449. [14] RMNYI,A. (1962). Theoriedes elements saillantsd'une suited'observations. Colloquium

[13] MARCUS,M. and PINSKY, M. (1969). On thedomainofattractionof exp{-e-x}.

J. Appl. Probability.

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