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

DOI10.3150/10-BEJ255MaRDI QIDQ627285zbMATH OpenFDO

Authors T. Mikosch, Alfredas Račkauskas

Publication date 28 February 2011

Published in Bernoulli (Search for Journal in Brave)

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

zbMATH Keywords

extreme value theoryregular variationpoint process convergenceBanach space valued random elementepidemic change pointmaximum increment of a random walkFréchet distribution

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: 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.

Recommendations

• The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes
• On the exact distributional asymptotics for the supremum of a random walk with increments in a class of light-tailed distribution
• On the asymptotic of the maximal weighted increment of a random walk with regularly varying jumps: the boundary case
• A local limit theorem for random walk maxima with heavy tails
• Limiting distribution for the maximal standardized increment of a random walk

Cites work

• scientific article; zbMATH DE number 4013835 (Why is no real title available?)
• scientific article; zbMATH DE number 49190 (Why is no real title available?)
• scientific article; zbMATH DE number 3538605 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• scientific article; zbMATH DE number 3332032 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• A limit theorem for the maximum of normalized sums of independent random variables
• An introduction to the theory of point processes
• Detecting a Changed Segment in DNA Sequences
• Exact convergence rate for the maximum of standardized Gaussian increments
• Extreme value theory for space-time processes with heavy-tailed distributions
• Hölder norm test statistics for epidemic change
• Inference about a change point in experimental neurophysiology
• Limit laws of Erdős-Rényi-Shepp type
• Limit theory for moving averages of random variables with regularly varying tail probabilities
• Regular variation for measures on metric spaces
• Sur la distribution limite du terme maximum d'une série aléatoire
• Testing epidemic changes of infinite dimensional parameters
• Tests for change-points with epidemic alternatives
• The Darling-Erdős theorem for sums of i.i.d. random variables
• Using the generalized likelihood ratio statistic for sequential detection of a change-point
• Weak convergence and empirical processes. With applications to statistics

Cited in

(16)

• 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
• Monitoring time series with short detection delay
• Asymptotic independence of three statistics of maximal segmental scores
• Extremes of the standardized Gaussian noise
• On Bernstein-Kantorovich invariance principle in Hölder spaces and weighted scan statistics
• 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
• Tail-robust factor modelling of vector and tensor time series in high dimensions
• 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 the asymptotic distribution of the scan statistic for empirical distributions
• Holderian weak invariance principle for stationary mixing sequences

This page was built for publication: The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q627285)