Author:
Mercier S.,Cellier D.,Charlot D.
Abstract
Using random walk theory, we first establish explicitly the exact distribution of the maximal partial sum of a sequence of independent and identically distributed random variables. This result allows us to obtain a new approximation of the distribution of the local score of one sequence. This approximation improves the one given by Karlin et al., which can be deduced from this new formula. We obtain a more accurate asymptotic expression with additional terms. Examples of application are given.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
6 articles.
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