English

Markov Properties of $k$-Record Processes via Order Statistics

Probability 2026-07-13 v1

Abstract

The theory of kk-record values (Type 2 kk-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 kk-records associated with a distribution function FF to that of ordinary records from the transformed distribution F1:k(x)=1(1F(x))kF_{1:k}(x)=1-(1-F(x))^k. 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 kk-record processes based on the sequence of running order statistics Un=Xnk+1:nU_n=X_{n-k+1:n}, the kk-th largest among the first nn observations. We show that (Un)(U_n) 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 UnU_n, the k1k-1 observations exceeding UnU_n are distributed as order statistics from the distribution truncated at UnU_n, independently of the whole past trajectory. Under continuity of FF, the usual Type 2 kk-record times coincide almost surely with the record times of (Un)(U_n). This yields a transparent construction of the kk-record process as the record process of a Markov chain, and classical distributional results -- including the representation through F1:kF_{1:k} and the joint density of the first mm kk-record values -- are recovered in a unified framework. We also treat the exponential case, in which the kk-record values form a random walk with independent exponential increments and Gamma-distributed marginals, and record a corresponding characterisation of the exponential distribution.

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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}
}

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34 pages