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

DOI10.1007/S00440-012-0427-2MaRDI QIDQ1955845zbMATH OpenOpenAlexFDO

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

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)

• Asymptotics for the maximum of a modulated random walk with heavy-tailed increments
• 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

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