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

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We investigate the maximum increment of a random walk with heavy-tailed jump size distribution. Here heavy-tailedness is understood as regular variation of the finite-dimensional distributions. The jump sizes constitute a strictly stationary sequence. Using a continuous mapping argument acting on the point processes of the normalized jump sizes, we prove that the maximum increment of the random walk converges in distribution to a Fréchet distributed random variable.
OriginalsprogEngelsk
TidsskriftProbability Theory and Related Fields
Vol/bind156
Sider (fra-til)249-272
ISSN0178-8051
DOI
StatusUdgivet - 2013

ID: 46001650