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Gumbel and F'echet convergence of the maxima of independent random walks | | Thomas Mikosch
; Jorge Yslas
; | | Date: |
9 Apr 2019 | | Abstract: | We consider point process convergence for sequences of iid random walks. The
objective is to derive asymptotic theory for the largest extremes of these
random walks. We show convergence of the maximum random walk to the Gumbel or
the Fr’echet distributions. The proofs heavily depend on precise large
deviation results for sums of independent random variables with a finite moment
generating function or with a subexponential distribution. | | Source: | arXiv, 1904.4607 | | Services: | Forum | Review | PDF | Favorites | |
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