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arXiv · 0706.1849

Extreme-Value Analysis of Standardized Gaussian Increments

Abstract

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 $$ L_n=\max_{0\leq i<j\leq n}\frac{S_j-S_i}{\sqrt{j-i}}. $$ We show that the distribution of $L_n$, appropriately normalized, converges as $n\to\infty$ to the Gumbel distribution. In some sense, the the random variable $L_n$, being the maximum of $n(n+1)/2$ dependent standard gaussian variables, behaves like the maximum of $Hn \log n$ independent standard gaussian variables. Here, $H\in (0,\infty)$ is some constant. We also prove a version of the above result for the Brownian motion.

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BibTeXRIS

Zakhar Kabluchko. 2008-06-06. Extreme-Value Analysis of Standardized Gaussian Increments. https://arxiv.org/abs/0706.1849

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