Characterizations in a random record model with a nonidentically distributed initial record

Abstract

We consider a sequence, of random length M, of independent, continuous observations Xi, 1 ≤ i ≤ M, where M is geometric, X1 has cumulative distribution function (CDF) G, and Xi, i ≥ 2, have CDF F. Let N be the number of upper records and let Rn, n ≥ 1, be the nth record value. We show that N is independent of F if and only if G(x) = G0(F(x)) for some CDF G0, and that if E(|X2|) is finite then so is E(|Rn|), n ≥ 2, whenever N ≥ n or N = n. We prove that the distribution of N, along with appropriately chosen subsequences of E(Rn), characterize F and G and, along with subsequences of E(Rn - Rn-1), characterize F and G up to a common location shift. We discuss some applications to the identification of the wage offer distribution in job search models.