Extremes for transient random walks in random sceneries under weak independence conditions

DOI10.1016/J.SPL.2019.108657MaRDI QIDQ2288807zbMATH OpenOpenAlexWikidataFDO

Authors Nicolas Chenavier, Ahmad Darwiche

Publication date 20 January 2020

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1910.04651

zbMATH Keywords

extreme valuesrandom walkslimit theorems

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

Abstract: Let $xi(k),kinmathbbZ$ be a stationary sequence of random variables with conditions of type $D(u_n)$ and $D^{\prime }(u_n)$. Let $S_n,ninmathbbN$ be a transient random walk in the domain of attraction of a stable law. We provide a limit theorem for the maximum of the first $n$ terms of the sequence $xi(S_n),ninmathbbN$ as $n$ goes to infinity. This paper extends a result due to Franke and Saigo who dealt with the case where the sequence $xi(k),kinmathbbZ$ is i.i.d.

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Cites work

• scientific article; zbMATH DE number 3249395 (Why is no real title available?)
• A limit theorem related to a new class of self similar processes
• Extremes and local dependence in stationary sequences
• Extremes and recurrence in dynamical systems
• On extreme values in stationary sequences
• Sur la distribution limite du terme maximum d'une série aléatoire
• The extremes of a random scenery as seen by a random walk in a random environment
• The extremes of random walks in random sceneries
• The range of stable random walks

Cited in

(3)

• Compound Poisson approximation for simple transient random walks in random sceneries
• The extremes of random walks in random sceneries
• The extremes of a random scenery as seen by a random walk in a random environment

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