Extreme-Value Analysis of Standardized Gaussian Increments

Details Extreme-Value Analysis of Standardized Gaussian Increments Extreme-Value Analysis of Standardized Gaussian Increments

2007-06-13

arxiv.org/abs/0706.1849v3

Mathematics

Probability

37 pages

Scientific paper

Let $\{X_i,i=1,2,...\}$ be i.i.d. standard gaussian variables. Let $S_n=X_1+...+X_n$ be the sequence of partial sums and $$ L_n=\max_{0\leq i

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