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Simple random walk statistics. Part II: Continuous time results

Part of: Combinatorial probability Nonparametric inference

Published online by Cambridge University Press:  14 July 2016

W. Böhm  and
W. Panny
W. Böhm*
Affiliation:
University of Economics, Vienna
W. Panny*
Affiliation:
University of Economics, Vienna
*
∗Postal address: Department of Statistics, University of Economics, Augasse 2–6, A-1090 Wien, Austria.
∗Postal address: Department of Statistics, University of Economics, Augasse 2–6, A-1090 Wien, Austria.
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Abstract

In this paper various statistics for randomized random walks and their distributions are presented. The distributional results are derived by means of a limiting procedure applied to the pertaining discrete time process, which has been considered in part I of this work (Katzenbeisser and Panny 1996). This basic approach, originally due to Meisling (1958), seems to offer certain technical advantages, since it avoids the use of Laplace transforms and is even simpler than Feller's randomization technique.

Keywords

RANDOMIZED RANDOM WALKSLATTICE PATHSRANK ORDER STATISTICS

MSC classification

Secondary: 62G30: Order statistics; empirical distribution functions 60C05: Combinatorial probability
Type
Research Papers
Information
Journal of Applied Probability , Volume 33 , Issue 2 , September 1996 , pp. 331 - 339
Copyright
Copyright © Applied Probability Trust 1996 

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References

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