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

Dingcheng C. Wang; Pingyan Y. Chen; Chun Su

doi:10.1016/j.spl.2007.02.018

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

Dingcheng C. Wang^*, Pingyan Y. Chen, Chun Su

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

5 Citations (Scopus)

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.

Original language	English
Pages (from-to)	1403-1412
Number of pages	10
Journal	Statistics and Probability Letters
Volume	77
Issue number	13
DOIs	https://doi.org/10.1016/j.spl.2007.02.018
Publication status	Published - 15 Jul 2007

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title = "The supremum of random walk with negatively associated and heavy-tailed steps",

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.",

keywords = "Equilibrium distribution, Heavy-tails, Negative association, Random walk, Supremum",

author = "Wang, \{Dingcheng C.\} and Chen, \{Pingyan Y.\} and Chun Su",

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AU - Wang, Dingcheng C.

AU - Chen, Pingyan Y.

AU - Su, Chun

PY - 2007/7/15

Y1 - 2007/7/15

N2 - 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.

AB - 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.

KW - Equilibrium distribution

KW - Heavy-tails

KW - Negative association

KW - Random walk

KW - Supremum

UR - https://www.scopus.com/pages/publications/34447529470

U2 - 10.1016/j.spl.2007.02.018

DO - 10.1016/j.spl.2007.02.018

M3 - Article

SN - 0167-7152

VL - 77

SP - 1403

EP - 1412

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 13

ER -

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

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