Limiting distribution for the maximal standardized increment of a random walk
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DOI: 10.1016/j.spa.2014.03.015
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References listed on IDEAS
- Kabluchko, Zakhar, 2011. "Extremes of the standardized Gaussian noise," Stochastic Processes and their Applications, Elsevier, vol. 121(3), pages 515-533, March.
- Lanzinger, H. & Stadtmüller, U., 2000. "Maxima of increments of partial sums for certain subexponential distributions," Stochastic Processes and their Applications, Elsevier, vol. 86(2), pages 307-322, April.
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Cited by:
- Hashorva, Enkelejd, 2018. "Representations of max-stable processes via exponential tilting," Stochastic Processes and their Applications, Elsevier, vol. 128(9), pages 2952-2978.
- Krzysztof Dȩbicki & Enkelejd Hashorva, 2020. "Approximation of Supremum of Max-Stable Stationary Processes & Pickands Constants," Journal of Theoretical Probability, Springer, vol. 33(1), pages 444-464, March.
- Alfredas Račkauskas & Martin Wendler, 2020. "Convergence of U-processes in Hölder spaces with application to robust detection of a changed segment," Statistical Papers, Springer, vol. 61(4), pages 1409-1435, August.
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Keywords
Extreme value theory; Increments of random walks; Erdős–Rényi law; Large deviations; Moderate deviations; Multiscale scan statistic; Cramér series; Gumbel distribution; Double sum method; Subgaussian distributions; Change-point detection;All these keywords.
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