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The supremum of random walk with negatively associated and heavy-tailed steps

Wang, Dingcheng; Chen, Ping-Yan; Su, Chen

Description

This paper obtains the Embrechts-Veraverbeke asymptotic formula for the random walk with dependent steps, where the steps constitute a sequence of negatively associated random variables with a common heavy-tailed distribution such that its left tail is lighter than its right tail.

CollectionsANU Research Publications
Date published: 2007
Type: Journal article
URI: http://hdl.handle.net/1885/36879
Source: Statistics and Probability Letters
DOI: 10.1016/j.spl.2007.02.018

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