Almost sure relative stability of the maximum of a stationary sequence

Abstract

The almost sure convergence of the maximum of a strictly stationary sequence is studied. We show that, if a particular mixing condition, related to the asymptotic independence of maxima defined by O'Brien, is satisfied, then the maximum behaves asymptotically like the quantile F←(1-1/n) whenever the marginal tail distribution decreases quickly enough. A necessary condition for the almost sure convergence of the maximum is derived. Applications are also discussed.