The asymptotic distribution of a cluster-index for i.i.d. normal random variables
Journal
Annals of Applied Probability
Date Issued
April 2009
Author(s)
DOI
10.1214/08-AAP553
Abstract
In a sample variance decomposition, with components functions of the sample's spacings, the largest component Ĩn is used in cluster detection. It is shown for normal samples that the asymptotic distribution of Ĩn is the Gumbel distribution.