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

被引：6

作者：

Wang, Dingcheng ^{[1
]}

Chen, Pingyan

Su, Chun

机构：

[1] Australian Natl Univ, Ctr Financial Math, MSI, Canberra, ACT 0200, Australia

[2] Univ Elect Sci & Technol China, Sch Appl Math, Chengdu 610054, Sichuan, Peoples R China

[3] Univ Elect Sci & Technol China, Sch Management, Chengdu 610054, Sichuan, Peoples R China

[4] Jinan Univ, Dept Math, Guangzhou 510630, Peoples R China

[5] Univ Sci & Technol China, Dept Stat & Finance, Hefei 230026, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2007年 / 77卷 / 13期

基金：

中国国家自然科学基金; 澳大利亚研究理事会;

关键词：

equilibrium distribution; heavy-tails; negative association; random walk; supremum;

D O I：

10.1016/j.spl.2007.02.018

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：1403 / 1412

页数：10

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