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Extreme-Value Analysis of Self-Normalized Increments

Extremwerteigenschaften der normierten Inkremente

by Zakhar Kabluchko
Doctoral thesis
Date of Examination:2007-04-23
Date of issue:2007-06-20
Advisor:Prof. Dr. Manfred Denker
Referee:Prof. Dr. Martin Schlather
crossref-logoPersistent Address: http://dx.doi.org/10.53846/goediss-2564

 

 

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Abstract

English

We prove a distributional convergence version of Levy's theorem on the continuity modulus of the Brownian motion. The result is extended to totally skewed alpha-stable processes.

Other Languages

Es wird gezeigt, dass die Verteilung des Maximums der normierten Inkremente der Brownschen Bewegung gegen die Gumbel-Verteilung konvergiert. Das Resultat wird auf alpha-stabile Prozesse erweitert.
Schlagwörter: Levy scher Stetigkeitsmodul; Extremwerttheorie; Gumbel-Verteilung; lokal stationäre gaußsche Prozesse
 

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