The Maximal Height of Simple Random Walks Revisited

Walter Katzenbeisser, Wolfgang Panny

    Publikation: Working/Discussion PaperWU Working Paper

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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).
    OriginalspracheEnglisch
    ErscheinungsortVienna
    HerausgeberDepartment of Statistics and Mathematics, WU Vienna University of Economics and Business
    DOIs
    PublikationsstatusVeröffentlicht - 1998

    Publikationsreihe

    ReiheForschungsberichte / Institut für Statistik
    Nummer58

    WU Working Paper Reihe

    • Forschungsberichte / Institut für Statistik

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