Extremes of Shepp statistics for Gaussian random walk

DOI10.1007/S10687-008-0065-3zbMath1223.62078OpenAlexW1988766091MaRDI QIDQ626270

Dmitrii Zholud

Publication date: 22 February 2011

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-008-0065-3

zbMATH Keywords

large deviationsGumbel distributionhigh excursions

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Sums of independent random variables; random walks (60G50) Large deviations (60F10)

Related Items (3)

Large deviations of Shepp statistics for fractional Brownian motion ⋮ Extremes of a type of locally stationary Gaussian random fields with applications to Shepp statistics ⋮ Extremes of Shepp statistics for fractional Brownian motion

Cites Work

• Unnamed Item
• Unnamed Item
• Exact convergence rate for the maximum of standardized Gaussian increments
• Extremes and related properties of random sequences and processes
• Limit distribution of maximal non-aligned two-sequence segmental score
• Extremes of Shepp statistics for the Wiener process
• On a new law of large numbers
• On the Erdos-Renyi Partial Sums: Large Deviations, Conditional Behavior
• On Large Jumps of a Random Walk
• On large deviations for the Shepp statistic
• On Large Jumps of a Cramer Random Walk
• Limit Theorems for Increments of Sums of Independent Random Variables
• A Limit Law Concerning Moving Averages

This page was built for publication: Extremes of Shepp statistics for Gaussian random walk