Markov Properties of $k$-Record Processes via Order Statistics
Abstract
The theory of -record values (Type 2 -records) plays an important role in the study of partial extremes and in statistical inference based on record data. A common approach reduces the analysis of -records associated with a distribution function to that of ordinary records from the transformed distribution . This representation is widely used to derive distributional and inferential results, often without an explicit construction of the underlying stochastic mechanism, and relies on a structural property of order statistics that, although classical, is typically invoked without proof. We give a direct derivation of the probabilistic structure of -record processes based on the sequence of running order statistics , the -th largest among the first observations. We show that forms a Markov chain with respect to its natural filtration, with an explicit transition kernel. The key step is a conditional-independence property of upper order statistics, which we isolate and prove: conditionally on , the observations exceeding are distributed as order statistics from the distribution truncated at , independently of the whole past trajectory. Under continuity of , the usual Type 2 -record times coincide almost surely with the record times of . This yields a transparent construction of the -record process as the record process of a Markov chain, and classical distributional results -- including the representation through and the joint density of the first -record values -- are recovered in a unified framework. We also treat the exponential case, in which the -record values form a random walk with independent exponential increments and Gamma-distributed marginals, and record a corresponding characterisation of the exponential distribution.
Keywords
Cite
@article{arxiv.2607.11283,
title = {Markov Properties of $k$-Record Processes via Order Statistics},
author = {Rodrigo Labouriau},
journal= {arXiv preprint arXiv:2607.11283},
year = {2026}
}
Comments
34 pages