Limiting distribution for the maximal standardized increment of a random walk

DOI10.1016/j.spa.2014.03.015zbMath1323.60074arXiv1211.3301OpenAlexW2048672287MaRDI QIDQ740186

Yizao Wang, Zakhar Kabluchko

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

zbMATH Keywords

random walksErdős-Rényi lawrandom fieldlarge deviationsCramér seriesextreme value theorymoderate deviationsGumbel distributiondouble sum methodchange-point detectionmultiscale scan statisticsub-Gaussian distributions

Mathematics Subject Classification ID

Random fields (60G60) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Large deviations (60F10)

Related Items (9)

Extremes of a class of nonhomogeneous Gaussian random fields ⋮ On the asymptotic distribution of the scan statistic for empirical distributions ⋮ Representations of \(\max\)-stable processes via exponential tilting ⋮ The harmonic mean formula for random processes ⋮ Generalized Pickands constants and stationary max-stable processes ⋮ Convergence of \(U\)-processes in Hölder spaces with application to robust detection of a changed segment ⋮ On the asymptotic of the maximal weighted increment of a random walk with regularly varying jumps: the boundary case ⋮ On Extremal Index of max-stable stationary processes ⋮ Approximation of supremum of max-stable stationary processes \& Pickands constants

Cites Work

• Extremes of the standardized Gaussian noise
• The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution
• Scan statistics. Methods and applications. In honor of Joseph Naus's seventieth birthday
• Extremes and related properties of random sequences and processes
• Exact convergence rate in the limit theorems of Erdős-Rényi and Shepp
• Limit laws of Erdős-Rényi-Shepp type
• Two moments suffice for Poisson approximations: The Chen-Stein method
• Erdős-Renyi laws
• Probability approximations via the Poisson clumping heuristic
• On sequences of 'pure heads'
• Maxima of increments of partial sums for certain subexponential distributions
• Tail probabilities for the null distribution of scanning statistics
• Using the generalized likelihood ratio statistic for sequential detection of a change-point
• A unified formulation of the central limit theorem for small and large deviations from the mean
• On Deviations of the Sample Mean
• On the Erdös-Rényi theorem for random fields and sequences and its relationships with the theory of runs and spacings
• Scan statistics of Lévy noises and marked empirical processes
• Maxima of moving sums in a Poisson random field
• On a Conjecture of Revesz
• Foundations of Modern Probability
• On Large Jumps of a Random Walk
• On Large Jumps of a Cramer Random Walk
• Upcrossing Probabilities for Stationary Gaussian Processes
• On the Probabilities of Large Deviations for Sums of Independent Random Variables
• An Extension of the Erdos-Renyi New Law of Large Numbers
• Generalization of a Probability Limit Theorem of Cramer
• Shao's theorem on the maximum of standardized random walk increments for multidimensional arrays
• Scan statistics
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Limiting distribution for the maximal standardized increment of a random walk