ON THE JOINT DISTRIBUTION OF LADDER VARIABLES OF RANDOM-WALK

被引：14

作者：

DONEY, RA ^{[1
]}

GREENWOOD, PE ^{[1
]}

机构：

[1] UNIV BRITISH COLUMBIA,DEPT MATH,VANCOUVER V6T 1Y4,BC,CANADA

来源：

PROBABILITY THEORY AND RELATED FIELDS | 1993年 / 94卷 / 04期

关键词：

D O I：

10.1007/BF01192558

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The ladder time N and ladder height H of a random walk {S(n), n greater-than-or-equal-to 1} as a pair (N, H) lie in the domain of attraction of a bivariate stable law if S1 is in a domain of attraction, as was shown by Greenwood et al. (1982). In this paper we prove a converse. If P(S(n) > 0) converges and (N, H) lies in a bivariate domain of attraction then S1 is also in a domain of attraction.

引用

页码：457 / 472

页数：16

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