Gumbel and Frechet convergence of the maxima of independent random walks

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Gumbel and Frechet convergence of the maxima of independent random walks. / Mikosch, Thomas Valentin; Yslas Altamirano, Jorge.

In: Advances in Applied Probability, Vol. 52, No. 1, 2020, p. 213-236.

Research output: Contribution to journal › Journal article › Research › peer-review

Harvard

Mikosch, TV & Yslas Altamirano, J 2020, 'Gumbel and Frechet convergence of the maxima of independent random walks', Advances in Applied Probability, vol. 52, no. 1, pp. 213-236. https://doi.org/10.1017/apr.2019.57

APA

Mikosch, T. V., & Yslas Altamirano, J. (2020). Gumbel and Frechet convergence of the maxima of independent random walks. Advances in Applied Probability, 52(1), 213-236. https://doi.org/10.1017/apr.2019.57

Vancouver

Mikosch TV, Yslas Altamirano J. Gumbel and Frechet convergence of the maxima of independent random walks. Advances in Applied Probability. 2020;52(1):213-236. https://doi.org/10.1017/apr.2019.57

Author

Mikosch, Thomas Valentin ; Yslas Altamirano, Jorge. / Gumbel and Frechet convergence of the maxima of independent random walks. In: Advances in Applied Probability. 2020 ; Vol. 52, No. 1. pp. 213-236.

Bibtex

@article{a698fef850d04ccb9ffab2a889bf4cf2,
title = "Gumbel and Frechet convergence of the maxima of independent random walks",
abstract = "We consider point process convergence for sequences of independent and identically distributed random walks. The objective is to derive asymptotic theory for the largest extremes of these random walks. We show convergence of the maximum random walk to the Gumbel or the Fr{\'e}chet distributions. The proofs depend heavily on precise large deviation results for sums of independent random variables with a finite moment generating function or with a subexponential distribution. {\textcopyright} Applied Probability Trust 2020.",
author = "Mikosch, {Thomas Valentin} and {Yslas Altamirano}, Jorge",
year = "2020",
doi = "10.1017/apr.2019.57",
language = "English",
volume = "52",
pages = "213--236",
journal = "Advances in Applied Probability",
issn = "0001-8678",
publisher = "Applied Probability Trust",
number = "1",

}

RIS

TY - JOUR

T1 - Gumbel and Frechet convergence of the maxima of independent random walks

AU - Mikosch, Thomas Valentin

AU - Yslas Altamirano, Jorge

PY - 2020

Y1 - 2020

N2 - We consider point process convergence for sequences of independent and identically distributed random walks. The objective is to derive asymptotic theory for the largest extremes of these random walks. We show convergence of the maximum random walk to the Gumbel or the Fréchet distributions. The proofs depend heavily on precise large deviation results for sums of independent random variables with a finite moment generating function or with a subexponential distribution. © Applied Probability Trust 2020.

AB - We consider point process convergence for sequences of independent and identically distributed random walks. The objective is to derive asymptotic theory for the largest extremes of these random walks. We show convergence of the maximum random walk to the Gumbel or the Fréchet distributions. The proofs depend heavily on precise large deviation results for sums of independent random variables with a finite moment generating function or with a subexponential distribution. © Applied Probability Trust 2020.

U2 - 10.1017/apr.2019.57

DO - 10.1017/apr.2019.57

M3 - Journal article

VL - 52

SP - 213

EP - 236

JO - Advances in Applied Probability

JF - Advances in Applied Probability

SN - 0001-8678

IS - 1

ER -

ID: 248031364