Block records and maxima of the increments of the Wiener process

DOI10.1016/S0378-3758(99)00076-2MaRDI QIDQ1973291zbMATH OpenFDO

Authors George Haiman

Publication date 23 May 2002

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0378-3758(99)00076-2

zbMATH Keywords

block recordincrements of Wiener processl-dependent sequences

Mathematics Subject Classification ID

Stationary stochastic processes (60G10)

Review text

Let \(\{W(t), t\geq 0\}\), \(W(0)=0,\) be the Wiener process. The basic result of this paper consists in proving that there exists a r.v. \(N\) and a sequence \(\{Z_n \}\) of i.i.d. random variables such that a.s. for \(N\geq n\) the following equality is true \[ \max_{0\leq t\leq n}(W(t)-W(t+1))=\max(Z_1,\ldots ,Z_n). \]

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Cites work

• A strong invariance principle concerning the J-upper order statistics for stationary Gaussian sequences
• Coincidence probabilities
• First Passage Time for a Particular Gaussian Process
• First passage time for some stationary processes
• On extreme value asymptotics for increments of renewal processes
• Records and 2-block records of 1-dependent stationary sequences under local dependence
• The Use of MOSUMS for Quality Control
• Étude des extrêmes d'une suite stationnaire m-dépendante avec une application relative aux accroissements du processus de Wiener. (Study of the extremes of a stationary m-dependent sequence with an application to the increments of Wiener processes)

Cited in

(4)

• Extremes of Shepp statistics for the Wiener process
• Truncated Sequential Change‐point Detection based on Renewal Counting Processes
• A limit theorem for sums of independent random elements in a Banach space
• Ten penalisation results of Brownian motion involving its one-sided supremum until first and last passage times. VIII

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