Large deviations of Shepp statistics

DOI10.1137/S0040585X97985145MaRDI QIDQ2882307zbMATH OpenFDO

Authors A. V. Shklyaev

Publication date 4 May 2012

Published in Theory of Probability and its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S0040585X97985145

zbMATH Keywords

large deviationrandom walkright-hand Cramér conditionShepp statistic

Mathematics Subject Classification ID

Large deviations (60F10) Asymptotic distribution theory in statistics (62E20)

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(7)

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• Some asymptotic results on extremes of Shepp statistics for Gaussian random walk
• Shepp statistic for Markov chains application to a long-run average cost criterion
• scientific article; zbMATH DE number 3944947 (Why is no real title available?)
• On large deviations for the Shepp statistic
• Extremes of Shepp statistics for fractional Brownian motion
• Sharp large deviation estimates for heavy-tailed extrema

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