The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution

DOI10.3150/10-BEJ255zbMath1215.60018arXiv1011.5718MaRDI QIDQ627285

Thomas Mikosch, Alfredas Račkauskas

Publication date: 28 February 2011

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.5718

zbMATH Keywords

regular variation; extreme value theory; Fréchet distribution; point process convergence; Banach space valued random element; epidemic change point; maximum increment of a random walk

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60G70: Extreme value theory; extremal stochastic processes

60G50: Sums of independent random variables; random walks

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