Simple Random Walk Statistics. Part I: Discrete Time Results

Katzenbeisser, Walter and Panny, Wolfgang (1990) Simple Random Walk Statistics. Part I: Discrete Time Results. Forschungsberichte / Institut für Statistik, 1. Department of Statistics and Mathematics, WU Vienna University of Economics and Business, Vienna.


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In a famous paper Dwass [I9671 proposed a method to deal with rank order statistics, which constitutes a unifying framework to derive various distributional results. In the present paper an alternative method is presented, which allows to extend Dwass's results in several ways, viz. arbitrary endpoints, horizontal steps, and arbitrary probabilities for the three step types. Regarding these extensions the pertaining rank order statistics are extended as well to simple random walk statistics. This method has proved appropriate to generalize all results given by Dwass. Moreover, these discrete time results can be taken as a starting point to derive the corresponding results for randomized random walks by means of a limiting process. (author's abstract)

Item Type: Paper
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 11 Jul 2006 08:07
Last Modified: 22 Oct 2019 00:41


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