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

Dingcheng Wang,Pingyan Chen,Chun Su

doi:10.1016/j.spl.2007.02.018

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

Dingcheng Wang, Pingyan Chen + Show 1 more

Open Access

https://doi.org/10.1016/j.spl.2007.02.018

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Journal: Statistics & Probability Letters	Publication Date: Apr 7, 2007
Citations: 8

Affiliation: Australian National University, University of Electronic Science and Technology of China, Jinan University, University of Science and Technology of China

#Supremum Of Random Walk #Left Tail + Show 4 more

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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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