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

Bernoulli

Volumn 16, Issue 4, 2010, Pages 1016-1038

  Mikosch, Thomas ^a   Račkauskas, Alfredas ^b  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

^b VILNIUS UNIVERSITY   (Lithuania)

Author keywords

Banach space valued random element; Epidemic change point; Extreme value theory; Fr chet distribution; Maximum increment of a random walk; Point process convergence; Regular variation

Indexed keywords

EID: 78751569432     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/10-BEJ255     Document Type: Article

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