Some further Results on the Height of Lattice Path

Walter Katzenbeisser, Wolfgang Panny

Publikation: Working/Discussion PaperWU Working Paper

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Abstract

This paper deals with the joint and conditional distributions concerning the maximum of random walk paths and the number of times this maximum is achieved. This joint distribution was studied first by Dwass [1967]. Based on his result, the correlation and some conditional moments are derived. The main contributions are however asymptotic expansions concerning the conditional distribution and conditional moments. (author's abstract)
OriginalspracheEnglisch
ErscheinungsortVienna
HerausgeberDepartment of Statistics and Mathematics, WU Vienna University of Economics and Business
DOIs
PublikationsstatusVeröffentlicht - 1990

Publikationsreihe

ReiheForschungsberichte / Institut für Statistik
Nummer3

WU Working Paper Reihe

  • Forschungsberichte / Institut für Statistik

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