A limit theorem with applications in order statistics
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Let A 1, A 2, ···, An be events on a given probability space and let Br, n be the event that exactly r of the A's occur. Let further Sk (n) be the kth binomial moment of the number of the A's which occur. A sufficient condition is given for the existence of lim P (Br,n ), as n→ + ∞, in terms of limits of the Sk (n)'s and a formula is given for the limit above. This formula for the limit is similar to the sieve theorem of Takács (1967) for infinite sequences of events and in the proof we make use of Takács's analytic method. The result is immediately applicable to the limit distribution of the maximum of (dependent) random variables X 1, X 2, ···, Xn by choosing Aj = {Xj ≧ x}. Our main theorem is reformulated for this special case and an example is given for illustration.
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[2] S. Berman. Limiting Distribution of the Maximum Term in Sequences of Dependent Random Variables , 1962 .
[3] W. Feller. An Introduction to Probability Theory and Its Applications , 1959 .