Exact convergence rate for the maximum of standardized Gaussian increments

DOI10.1214/ECP.v13-1380zbMath1189.60063MaRDI QIDQ1038885

Axel Munk, Zakhar Kabluchko

Publication date: 20 November 2009

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/229003

zbMATH Keywords

integral testGaussian random walkalmost sure limit theoremmultiscale statisticLévy's continuity modulusstandardized increments

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

Related Items

Nonparametric regression, confidence regions and regularization ⋮ Extremes of Shepp statistics for Gaussian random walk ⋮ The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution ⋮ Large deviations of Shepp statistics for fractional Brownian motion ⋮ Extremes of a type of locally stationary Gaussian random fields with applications to Shepp statistics ⋮ Extremes of Shepp statistics for fractional Brownian motion ⋮ Extremes of the standardized Gaussian noise ⋮ Extremes of Shepp statistics for the Wiener process ⋮ Optimal inference with a multidimensional multiscale statistic

Uses Software

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