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

DOI10.3150/10-BEJ255zbMATH Open1215.60018arXiv1011.5718MaRDI QIDQ627285FDOQ627285

T. Mikosch, Alfredas Račkauskas

Publication date: 28 February 2011

Published in: Bernoulli (Search for Journal in Brave)

Abstract: In this paper, we deal with the asymptotic distribution of the maximum increment of a random walk with a regularly varying jump size distribution. This problem is motivated by a long-standing problem on change point detection for epidemic alternatives. It turns out that the limit distribution of the maximum increment of the random walk is one of the classical extreme value distributions, the Fr'{e}chet distribution. We prove the results in the general framework of point processes and for jump sizes taking values in a separable Banach space.

Full work available at URL: https://arxiv.org/abs/1011.5718

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zbMATH Keywords

extreme value theoryregular variation[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Fr%EF%BF%BD%EF%BF%BDchet+distribution&go=Go Fr��chet distribution]point process convergenceBanach space valued random elementepidemic change pointmaximum increment of a random walk

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)

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Cited In (14)

• The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes
• Epidemic change tests for the mean of innovations of an AR(1) process
• Asymptotic independence of three statistics of maximal segmental scores
• Extremes of the standardized Gaussian noise
• 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
• Convergence of \(U\)-processes in Hölder spaces with application to robust detection of a changed segment
• 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
• Testing epidemic change in nearly nonstationary process with statistics based on residuals
• On Bernstein–Kantorovich invariance principle in Hölder spaces and weighted scan statistics
• On the asymptotic distribution of the scan statistic for empirical distributions
• Holderian weak invariance principle for stationary mixing sequences

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