Limiting distribution for the maximal standardized increment of a random walk
Year of publication: |
2014
|
---|---|
Authors: | Kabluchko, Zakhar ; Wang, Yizao |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 9, p. 2824-2867
|
Publisher: |
Elsevier |
Subject: | 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 |
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