On the Maximal and Minimal Excursion Endpoints of the Partial Sum Process.

Let {Xn: n>=1} be a sequence of independent and identically distributed random variables with a common distribution function F. Let Sk= X1+...+Xk, k>=1, denote the partial sums associated to {Xn: n>=1}. In this paper, we study the number and times of the maximal and minimal excursion endpoints of the process {Sn: n>=1}.

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Year of publication:	1999
Authors:	Berred, A.M.
Subject:	ANALYSE STATISTIQUE \| ANALYSE MATHEMATIQUE \| ECONOMETRIE

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Type of publication:	Book / Working Paper
Notes:	13 pages
Classification:	C00 - Mathematical and Quantitative Methods. General ; C40 - Econometric and Statistical Methods: Special Topics. General ; C60 - Mathematical Methods and Programming. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005640980