Extremes of Shepp statistics for Gaussian random walk

DOI10.1007/S10687-008-0065-3MaRDI QIDQ626270zbMATH OpenOpenAlexFDO

Authors 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

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

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Cites work

• scientific article; zbMATH DE number 699389 (Why is no real title available?)
• scientific article; zbMATH DE number 846847 (Why is no real title available?)
• A Limit Law Concerning Moving Averages
• Exact convergence rate for the maximum of standardized Gaussian increments
• Extremes and related properties of random sequences and processes
• Extremes of Shepp statistics for the Wiener process
• Limit Theorems for Increments of Sums of Independent Random Variables
• Limit distribution of maximal non-aligned two-sequence segmental score
• On Large Jumps of a Cramer Random Walk
• On Large Jumps of a Random Walk
• On a new law of large numbers
• On large deviations for the Shepp statistic
• On the Erdos-Renyi Partial Sums: Large Deviations, Conditional Behavior

Cited in

(8)

• Large deviations of Shepp statistics
• Extremes of Shepp statistics for fractional Brownian motion
• scientific article; zbMATH DE number 5005219 (Why is no real title available?)
• On large deviations for the Shepp statistic
• Large deviations of Shepp statistics for fractional Brownian motion
• Extreme value statistics of positive recurrent centrally biased random walks
• Some asymptotic results on extremes of Shepp statistics for Gaussian random walk
• Extremes of a type of locally stationary Gaussian random fields with applications to Shepp statistics

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