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Exact Convergence Rate for the Maximum of Standardized Gaussian Increments


 
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1. Title Title of document Exact Convergence Rate for the Maximum of Standardized Gaussian Increments
 
2. Creator Author's name, affiliation, country Zakhar Kabluchko; Goettingen University
 
2. Creator Author's name, affiliation, country Axel Munk; Goettingen University
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) standardized increments, gaussian random walk, multiscale statistic, L'evy's continuity modulus, integral test, almost sure limit theorem
 
3. Subject Subject classification 60F15
 
4. Description Abstract We prove an almost sure limit theorem on the exact convergence rate of the maximum of standardized gaussian random walk increments. This gives a more precise version of Shao's theorem ( Shao, Q.-M., 1995. On a conjecture of Révész. Proc. Amer. Math. Soc. 123, 575-582 ) in the gaussian case.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2008-06-17
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1380
 
10. Identifier Digital Object Identifier 10.1214/ECP.v13-1380
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 13
 
12. Language English=en
 
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