Skip navigation
Skip navigation

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

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


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
Source: Statistics and Probability Letters
DOI: 10.1016/j.spl.2007.02.018


File Description SizeFormat Image
01_Wang_The_supremum_of_random_walk_2007.pdf179.98 kBAdobe PDF    Request a copy

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  27 November 2018/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator