Convergence to type I distribution of the extremes of sequences defined by random difference equation

Pawel Hitczenko

We study the extremes of a sequence of random variables $(R_n)$ defined by the recurrence $R_n=M_n{R}_{n-1}+q$, $n\ge 1$, where $R_0$ is arbitrary, $(M_n)$ are iid copies of a non--de…