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

DOI10.1007/S00440-012-0427-2zbMATH Open1282.60053OpenAlexW2034245644MaRDI QIDQ1955845FDOQ1955845

Authors: T. Mikosch, Martin Moser 

Publication date: 19 June 2013

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00440-012-0427-2

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zbMATH Keywords

regular variationmoving average processextreme value distributionstochastic volatility modelGARCH processmaximum increment of a random walkdependent jump sizes

Mathematics Subject Classification ID

Large deviations (60F10) Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Time series analysis of dynamical systems (37M10)

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Cited In (9)

• A local limit theorem for random walk maxima with heavy tails
• Asymptotic independence of three statistics of maximal segmental scores
• Limiting distribution for the maximal standardized increment of a random walk
• On the asymptotic of the maximal weighted increment of a random walk with regularly varying jumps: the boundary case
• Testing mean changes by maximal ratio statistics
• Size of the jump and behavior of the absolute maximum for processes with independent increments
• Two-stage data segmentation permitting multiscale change points, heavy tails and dependence
• The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution
• Asymptotics for the maximum of a modulated random walk with heavy-tailed increments

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