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

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Standard

The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution. / Mikosch, Thomas Valentin; Rackauskas, Alfredas.

I: Bernoulli, Bind 16, Nr. 4, 2010, s. 1016-1038.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Mikosch, TV & Rackauskas, A 2010, 'The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution', Bernoulli, bind 16, nr. 4, s. 1016-1038. https://doi.org/10.3150/10-BEJ255

APA

Mikosch, T. V., & Rackauskas, A. (2010). The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution. Bernoulli, 16(4), 1016-1038. https://doi.org/10.3150/10-BEJ255

Vancouver

Mikosch TV, Rackauskas A. The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution. Bernoulli. 2010;16(4):1016-1038. https://doi.org/10.3150/10-BEJ255

Author

Mikosch, Thomas Valentin ; Rackauskas, Alfredas. / The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution. I: Bernoulli. 2010 ; Bind 16, Nr. 4. s. 1016-1038.

Bibtex

@article{a94b226a23ce45a8bb77992c2fed31e3,
title = "The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution",
abstract = "In this paper, we deal with the asymptotic distribution of the maximum increment of a random walk with a regularly varying jump size distribution. This problem is motivated by a long-standing problem on change point detection for epidemic alternatives. It turns out that the limit distribution of the maximum increment of the random walk is one of the classical extreme value distributions, the Fr{\'e}chet distribution. We prove the results in the general framework of point processes and for jump sizes taking values in a separable Banach space",
author = "Mikosch, {Thomas Valentin} and Alfredas Rackauskas",
year = "2010",
doi = "10.3150/10-BEJ255",
language = "English",
volume = "16",
pages = "1016--1038",
journal = "Bernoulli",
issn = "1350-7265",
publisher = "International Statistical Institute",
number = "4",

}

RIS

TY - JOUR

T1 - The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution

AU - Mikosch, Thomas Valentin

AU - Rackauskas, Alfredas

PY - 2010

Y1 - 2010

N2 - In this paper, we deal with the asymptotic distribution of the maximum increment of a random walk with a regularly varying jump size distribution. This problem is motivated by a long-standing problem on change point detection for epidemic alternatives. It turns out that the limit distribution of the maximum increment of the random walk is one of the classical extreme value distributions, the Fréchet distribution. We prove the results in the general framework of point processes and for jump sizes taking values in a separable Banach space

AB - In this paper, we deal with the asymptotic distribution of the maximum increment of a random walk with a regularly varying jump size distribution. This problem is motivated by a long-standing problem on change point detection for epidemic alternatives. It turns out that the limit distribution of the maximum increment of the random walk is one of the classical extreme value distributions, the Fréchet distribution. We prove the results in the general framework of point processes and for jump sizes taking values in a separable Banach space

U2 - 10.3150/10-BEJ255

DO - 10.3150/10-BEJ255

M3 - Journal article

VL - 16

SP - 1016

EP - 1038

JO - Bernoulli

JF - Bernoulli

SN - 1350-7265

IS - 4

ER -

ID: 33967632