The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution

Abstract

In this paper, we deal with the asymptotic distribution of the maximum increment of a random walk with a regularly varying jump size distribution. This problem is motivated by a long-standing problem on change point detection for epidemic alternatives. It turns out that the limit distribution of the maximum increment of the random walk is one of the classical extreme value distributions, the Fréchet distribution. We prove the results in the general framework of point processes and for jump sizes taking values in a separable Banach space.