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

DOI10.3150/10-BEJ255zbMath1215.60018arXiv1011.5718MaRDI QIDQ627285

Thomas 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

regular variation; extreme value theory; Fréchet distribution; point process convergence; Banach space valued random element; epidemic change point; maximum increment of a random walk

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60G70: Extreme value theory; extremal stochastic processes

60G50: Sums of independent random variables; random walks

Related Items

Epidemic change tests for the mean of innovations of an AR(1) process, Extremes of the standardized Gaussian noise, Limiting distribution for the maximal standardized increment of a random walk, The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes, Asymptotic independence of three statistics of maximal segmental scores

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A limit theorem for the maximum of normalized sums of independent random variables
• Testing epidemic changes of infinite dimensional parameters
• Exact convergence rate for the maximum of standardized Gaussian increments
• Limit theory for moving averages of random variables with regularly varying tail probabilities
• Inference about a change point in experimental neurophysiology
• Limit laws of Erdős-Rényi-Shepp type
• An introduction to the theory of point processes
• The Darling-Erdős theorem for sums of i.i.d. random variables
• Hölder norm test statistics for epidemic change
• Using the generalized likelihood ratio statistic for sequential detection of a change-point
• Weak convergence and empirical processes. With applications to statistics
• Extreme value theory for space-time processes with heavy-tailed distributions
• Sur la distribution limite du terme maximum d'une série aléatoire
• Regular variation for measures on metric spaces
• Detecting a Changed Segment in DNA Sequences
• Tests for change-points with epidemic alternatives