Record statistics for a discrete-time random walk with correlated steps. (English) Zbl 1456.60106
Summary: The characterization of record events is considered for a discrete-time random walk model with long-term memory arising from correlations between successive steps. An important feature is that the correlations are strong enough to give rise to super-diffusivity and transience. Various quantities related to record statistics are calculated exactly, highlighting important differences in behaviour from the simple random walk with independent steps.
MSC:
| 60G50 | Sums of independent random variables; random walks |
| 62G32 | Statistics of extreme values; tail inference |
Software:
SumToolsReferences:
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