The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution (Q627285): Difference between revisions

The paper is devoted to the study of the asymptotic distribution of the maximum increment of a random walk. This problem is motivated by a long-standing problem on change point detection for epidemic alternatives. The results are proved in the general framework of point processes and for jump sizes taking values in a Banach space. The authors introduce the notation of a regularly varying random element with values in a Banach space and give several examples of such elements. The main result claims that the normalized maximum increment of a driftless random walk with values in a separable Banach space and with regularly varying jump sizes converges in distribution to a Fréchet distribution. This general result is used to describe the asymptotic behavior of the maximum increment of a real-valued random walk.