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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.
Year of publication:
2007
Authors: Wang, Dingcheng ; Chen, Pingyan ; Su, Chun
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 77.2007, 13, p. 1403-1412
Publisher: Elsevier
Keywords: Equilibrium distribution Heavy-tails Negative association Random walk Supremum
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005211947
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