On the distribution of the maxima of partial sums
Let Xn, N = 1, 2, ..., be independent identically distributed random variables with common distribution function F and let S0 = 0, Sn = [summation operator]k = 1n Xk, N = 1, 2,.... We show that in a wide range of cases the distribution of Mn = max0 [less-than-or-equals, slant] k [less-than-or-equals, slant] n Sk inherits the asymptotic properties of F.
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Volume (Year): 28 (1996)
Issue (Month): 3 (July)
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