The supremum of random walk with negatively associated and heavy-tailed steps
Date
2007
Authors
Wang, Dingcheng
Chen, Ping-Yan
Su, Chen
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Publisher
Elsevier
Abstract
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.
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Keywords
Keywords: Equilibrium distribution; Heavy-tails; Negative association; Random walk; Supremum
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Source
Statistics and Probability Letters
Type
Journal article
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Restricted until
2037-12-31
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