Limiting distribution for the maximal standardized increment of a random walk
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Publication:740186
DOI10.1016/j.spa.2014.03.015zbMath1323.60074arXiv1211.3301MaRDI QIDQ740186
Publication date: 2 September 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1211.3301
random walks; Erdős-Rényi law; random field; large deviations; Cramér series; extreme value theory; moderate deviations; Gumbel distribution; double sum method; change-point detection; multiscale scan statistic; sub-Gaussian distributions
60G60: Random fields
60F05: Central limit and other weak theorems
60G70: Extreme value theory; extremal stochastic processes
60G50: Sums of independent random variables; random walks
60F10: Large deviations
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