Asymptotic behavior of the local score of independent and identically distributed random sequences. (Q2574587): Difference between revisions

For a sequence of random variables \(\{X_n\}_{n\geq 1}\), local scores \(H_n = \max _{1\leq i \leq j \leq n}(X_{i+1}+ \dots +X_j) \) are considered. The asymptotic distribution of \(H_n /{\sqrt n}\) is studied under the assumption that \(\{X_n\}\) is either a sequence of centered iid random variables with finite second moments, or an irreducible stationary Markov chain taking values in a finite subset of \(\mathbb R.\) The results are then generalized to the family \(\{(X_k^{(N)})_{k\geq 1}, N\geq 1\}\) of iid random variables such that \(\lim _{N\to \infty }\sqrt N\mathbb E\, X_1^{(N)} = \delta \in \mathbb R \) and \(\lim _{N\to \infty }\,\text{Var}\, X_1^{(N)} = \sigma ^2 > 0. \)