363 citations
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Showing 2014 · math.PRShow all
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math.PR2014★ 56 cited
A note on Veraverbeke's theorem
Stan Zachary
We give an elementary probabilistic proof of Veraverbeke's Theorem for the asymptotic distribution of the maximum of a random walk with negative drift and heavy-tailed increments.…
math.PR2014★ 6 cited
Diffusion Limit For The Random Walk Metropolis Algorithm Out Of stationarity
J. Kuntz, M. Ottobre, A. M. Stuart
The Random Walk Metropolis (RWM) algorithm is a Metropolis- Hastings MCMC algorithm designed to sample from a given target distribution πwith Lebesgue density on R^N. RWM construct…