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arxiv: 0803.3518 · v1 · submitted 2008-03-25 · 🧮 math.PR · math.ST· stat.TH

Maxima of Dirichlet and triangular arrays of gamma variables

classification 🧮 math.PR math.STstat.TH
keywords gammadirichletlimitsparametertriangularvariablesarrayarrays
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Consider a rowwise independent triangular array of gamma random variables with varying parameters. Under several different conditions on the shape parameter, we show that the sequence of row-maximums converges weakly after linear or power transformation. Depending on the parameter combinations, we obtain both Gumbel and non-Gumbel limits. The weak limits for maximum of the coordinates of certain Dirichlet vectors of increasing dimension are also obtained using the gamma representation.

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