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

Dingcheng Wang, Pingyan Chen and Chun Su

Statistics & Probability Letters, 2007, vol. 77, issue 13, 1403-1412

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 (search for similar items in EconPapers)
Date: 2007
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