Year: 2007
Type: article
Abstract: In the context of this paper, a record is an entry in a sequence of random variables (RVs) that is larger or smaller than all previous entries. After a brief review of the classic theory of records, which is largely restricted to sequences of independent and identically distributed (i.i.d.) RVs, new results for sequences of independent RVs with distributions that broaden or sharpen with time are presented. In particular, we show that when the width of the distribution grows as a power law in time n , the mean number of records is asymptotically of order ln n for distributions with a power law tail (the Fréchet class of extreme value statistics), of order (ln n ) 2 for distributions of exponential type ( Gumbel class ), and of order n 1/(ν+1) for distributions of bounded support ( Weibull class ), where the exponent ν describes the behaviour of the distribution at the upper (or lower) boundary. Simulations are presented which indicate that, in contrast to the i.i.d. case, the sequence of record breaking events is correlated in such a way that the variance of the number of records is asymptotically smaller than the mean.
Author: Joachim Krug
Institution: University of Cologne
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: bronze
Award: G1113938619
OpenAlex ID: W1991341217