Precursors of extreme increments
نویسندگان
چکیده
منابع مشابه
Extreme-Value Analysis of Standardized Gaussian Increments
Let {Xi, i = 1, 2, . . .} be i.i.d. standard gaussian variables. Let Sn = X1 + . . . + Xn be the sequence of partial sums and Ln = max 0≤i<j≤n Sj − Si √ j − i . We show that the distribution of Ln, appropriately normalized, converges as n → ∞ to the Gumbel distribution. In some sense, the the random variable Ln, being the maximum of n(n+1)/2 dependent standard gaussian variables, behaves like t...
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ژورنال
عنوان ژورنال: Physical Review E
سال: 2007
ISSN: 1539-3755,1550-2376
DOI: 10.1103/physreve.75.016706