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Half-normal approximation for statistics of symmetric simple random walk

Author

Listed:
  • Al-ameen Sama-ae
  • Nattakarn Chaidee
  • Kritsana Neammanee

Abstract

In 2013, Döbler used Stein’s method to obtain the uniform bounds in half-normal approximation for three statistics of a symmetric simple random walk; the maximum value, the number of returns to the origin and the number of sign changes up to a given time n. In this paper, we give the non-uniform bounds for these statistics by using Stein’s method and the concentration inequality approach.

Suggested Citation

  • Al-ameen Sama-ae & Nattakarn Chaidee & Kritsana Neammanee, 2018. "Half-normal approximation for statistics of symmetric simple random walk," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 47(4), pages 779-792, February.
    • Handle: RePEc:taf:lstaxx:v:47:y:2018:i:4:p:779-792
    DOI: 10.1080/03610926.2016.1139129
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