The supremum of random walk with negatively associated and heavy-tailed steps
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.
|Collections||ANU Research Publications|
|Source:||Statistics and Probability Letters|
|01_Wang_The_supremum_of_random_walk_2007.pdf||179.98 kB||Adobe PDF||Request a copy|
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