Limiting distribution for the maximal standardized increment of a random walk

Zakhar Kabluchko and Yizao Wang

Stochastic Processes and their Applications, 2014, vol. 124, issue 9, 2824-2867

Abstract: Let X1,X2,… be independent identically distributed (i.i.d.) random variables with EXk=0, V arXk=1. Suppose that φ(t)≔logEetXk<∞ for all t>−σ0 and some σ0>0. Let Sk=X1+⋯+Xk and S0=0. We are interested in the limiting distribution of the multiscale scan statisticMn=max0≤i0. In this case, we show that the main contribution to Mn comes from the intervals (i,j) having length l≔j−i of order a(logn)p, a>0, where p=q/(q−2) and q∈{3,4,…} is the order of the first non-vanishing cumulant of X1 (not counting the variance). In the logarithmic case we assume that the function ψ(t)≔2φ(t)/t2 attains its maximum m∗>1 at some unique point t=t∗∈(0,∞). In this case, we show that the main contribution to Mn comes from the intervals (i,j) of length d∗logn+alogn, a∈R, where d∗=1/φ(t∗)>0. In the sublogarithmic case we assume that the tail of Xk is heavier than exp{−x2−ε}, for some ε>0. In this case, the main contribution to Mn comes from the intervals of length o(logn) and in fact, under regularity assumptions, from the intervals of length 1. In the remaining, fourth case, the Xk’s are Gaussian. This case has been studied earlier in the literature. The main contribution comes from intervals of length alogn, a>0. We argue that our results cover most interesting distributions with light tails. The proofs are based on the precise asymptotic estimates for large and moderate deviation probabilities for sums of i.i.d. random variables due to Cramér, Bahadur, Ranga Rao, Petrov and others, and a careful extreme value analysis of the random field of standardized increments by the double sum method.

Keywords: 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 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spa.2014.03.015

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