The Maximal Height of Simple Random Walks Revisited

Walter Katzenbeisser, Wolfgang Panny

Publication: Working/Discussion PaperWU Working Paper

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)
Original languageEnglish
Place of PublicationVienna
PublisherDepartment of Statistics and Mathematics, WU Vienna University of Economics and Business
Publication statusPublished - 1998

Publication series

NameForschungsberichte / Institut für Statistik
No.58

WU Working Paper Series

  • Forschungsberichte / Institut für Statistik

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