The Maximal Height of Simple Random Walks Revisited

Katzenbeisser, Walter and Panny, Wolfgang (1998) The Maximal Height of Simple Random Walks Revisited. Forschungsberichte / Institut für Statistik, 58. Department of Statistics and Mathematics, WU Vienna University of Economics and Business, Vienna.

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Abstract

In a recent paper Katzenbeisser and Panny (1996) derived distributional results for a number of so called simple random walk statistics defined on a simple random walk in the sense of Cox and Miller (1968) starting at zero and leading to state 1 after n steps, where 1 is arbitrary, but fix. In the present paper the random walk statistics Dn = the one-sided maximum deviation and Qn = the number of times where the maximum is achieved, are considered and distributional results are presented, when it is irrespective, where the random walk terminates after n steps. Thus, the results can be seen as generalizations of some well known results about (purely) binomial random walk, given e.g. in Revesz (1990). (author's abstract)

Item Type: Paper
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 12 Jul 2006 05:13
Last Modified: 22 Oct 2019 00:41
URI: https://epub.wu.ac.at/id/eprint/1126

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