On the limit distribution of extremes of generalized Oppenheim random variables
Milto Hadjikyriakou, Rita Giuliano

TL;DR
This paper studies the asymptotic behavior of the extremes of generalized Oppenheim random variables, establishing conditions for their maxima to follow the Frechet distribution and exploring their asymptotic independence.
Contribution
It provides new conditions under which the extremes of Oppenheim variables belong to the Frechet domain and proves an Extreme Types theorem for dependent structures.
Findings
Normalized extremes follow Frechet distribution under certain conditions
Maxima and minima exhibit asymptotic independence
Established an Extreme Types theorem for dependent Oppenheim expansions
Abstract
This paper investigates the asymptotic behavior of the extremes of a sequence of generalized Oppenheim random variables. Particularly, we establish conditions under which some normalized extremes of sequences arising from Oppenheim expansions belong to the maximum domain of attraction of the Frechet distribution. Additionally, we identify conditions under which the maxima and minima of Oppenheim random variables demonstrate some kind of asymptotic independence. Finally, we prove an Extreme Types theorem for Oppenheim expansions with unknown dependent structure.
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Taxonomy
TopicsFinancial Risk and Volatility Modeling · Probability and Risk Models · Stochastic processes and financial applications
