Mijatović, Aleksandar; Pistorius, Martijn - In: Statistics & Probability Letters 99 (2015) C, pp. 185-191
Let ξ1,ξ2,… be an iid sequence with negative mean. The (m,n)-segment is the subsequence ξm+1,…,ξn and its score is given by max{∑m+1nξi,0}. Let Rn be the largest score of any segment ending at time n, Rn∗ the largest score of any segment in the sequence ξ1,…,ξn, and Ox the...