- Extreme Values of Mixed Erlang Random Variables
- Extreme Values of Mixed Erlang Random Variables
- ㆍ 저자명
- Kang. Sung-Yeol
- ㆍ 간행물명
- 韓國經營科學會誌
- ㆍ 권/호정보
- 2003년|28권 4호|pp.145-153 (9 pages)
- ㆍ 발행정보
- 한국경영과학회
- ㆍ 파일정보
- 정기간행물|ENG| PDF텍스트
- ㆍ 주제분야
- 기타
In this Paper, we examine the limiting distributional behaviour of extreme values of mixed Erlang random variables. We show that, in the finite mixture of Erlang distributions, the component distribution with an asymptotically dominant tail has a critical effect on the asymptotic extreme behavior of the mixture distribution and it converges to the Gumbel extreme-value distribution. Normalizing constants are also established. We apply this result to characterize the asymptotic distribution of maxima of sojourn times in M/M/s queuing system. We also show that Erlang mixtures with continuous mixing may converge to the Gumbel or Type II extreme-value distribution depending on their mixing distributions, considering two special cases of uniform mixing and exponential mixing.