Abstract:
The paper studies the limit distributions of the maximum of sums
$\max_{1\le k\le n}\sum_{l=1}^k\xi_{n,l}$ for the triangular array $\xi_{n,k}$,
$k=1,\ldots,n$, $n=1,2,\ldots\,$, of independent identically distributed
random variables in a singular series in cases where
$a_n=E\xi_{n,k}\to
0$ and/or 1) $a_n\sqrt n\to\infty$, or 2) $a_n\sqrt n\to-\infty$,
or 3) $a_n\sqrt n\to 0$ as $n\to\infty$.
The direct proof that the analytic expressions for limit laws
coincide was previously obtained
by different authors and is given. Moreover,
for these transient cases the convergence of the sequence of distributions
of maximums to the limit laws is proved with the help of the characteristic
functions method.
Keywords:
triangular array, maximum of sequential sums, limit distributions, method of characteristic functions.
Citation:
A. K. Aleshkyavichene, S. V. Nagaev, “Transient phenomena in a random walk”, Teor. Veroyatnost. i Primenen., 48:1 (2003), 3–21; Theory Probab. Appl., 48:1 (2004), 1–18
\Bibitem{AleNag03}
\by A.~K.~Aleshkyavichene, S.~V.~Nagaev
\paper Transient phenomena in a random walk
\jour Teor. Veroyatnost. i Primenen.
\yr 2003
\vol 48
\issue 1
\pages 3--21
\mathnet{http://mi.mathnet.ru/tvp298}
\crossref{https://doi.org/10.4213/tvp298}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2013402}
\zmath{https://zbmath.org/?q=an:1056.60042}
\transl
\jour Theory Probab. Appl.
\yr 2004
\vol 48
\issue 1
\pages 1--18
\crossref{https://doi.org/10.1137/S0040585X980300}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000220694300001}
Linking options:
https://www.mathnet.ru/eng/tvp298
https://doi.org/10.4213/tvp298
https://www.mathnet.ru/eng/tvp/v48/i1/p3
This publication is cited in the following 4 articles:
Ruell E.W., Riley S.P.D., Douglas M.R., Pollinger J.P., Crooks K.R., “Estimating bobcat population sizes and densities in a fragmented urban landscape using noninvasive capture–recapture sampling”, Journal of Mammalogy, 90:1 (2009), 129–135
Lukacs P.M., Burnham K.P., “Review of capture–recapture methods applicable to noninvasive genetic sampling”, Molecular Ecology, 14:13 (2005), 3909–3919
A. I. Sakhanenko, “On Transient Phenomena in Random Walks”, Theory Probab. Appl., 49:2 (2005), 354
A. I. Sakhanenko, “On transient phenomena in random walks”, Theory Probab. Appl., 49:2 (2005), 354–367