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- W2034245644 abstract "We investigate the maximum increment of a random walk with heavy-tailed jump size distribution. Here heavy-tailedness is understood as regular variation of the finite-dimensional distributions. The jump sizes constitute a strictly stationary sequence. Using a continuous mapping argument acting on the point processes of the normalized jump sizes, we prove that the maximum increment of the random walk converges in distribution to a Fréchet distributed random variable." @default.
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- W2034245644 date "2012-05-11" @default.
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- W2034245644 title "The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes" @default.
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- W2034245644 doi "https://doi.org/10.1007/s00440-012-0427-2" @default.
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