Gumbel and Fr\'echet convergence of the maxima of independent random walks

Thomas Mikosch; Jorge Yslas

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arXiv · 1904.04607

Gumbel and Fr\'echet convergence of the maxima of independent random walks

Thomas Mikosch·Jorge Yslas

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Abstract

We consider point process convergence for sequences of iid random walks. The objective is to derive asymptotic theory for the largest extremes of these random walks. We show convergence of the maximum random walk to the Gumbel or the Fr\'echet distributions. The proofs heavily depend on precise large deviation results for sums of independent random variables with a finite moment generating function or with a subexponential distribution.

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BibTeX RIS

Thomas Mikosch, Jorge Yslas. 2019-04-09. Gumbel and Fr\'echet convergence of the maxima of independent random walks. https://arxiv.org/abs/1904.04607

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