most citedVeraverbeke's theorem at large - On the maximum of some processes with negative drift and heavy tail innovations

2 citations · 2 across the 3 of their papers we have counts for

collaborators

3 papers

math.PR2008

An extension of a logarithmic form of Cramer's ruin theorem to some FARIMA and related processes

Ph. Barbe, W. P. McCormick

Cramer's theorem provides an estimate for the tail probability of the maximum of a random walk with negative drift and increments having a moment generating function finite in a ne…

math.ST2008

An elementary approach to extreme values theory

Philippe Barbe

This note presents a rather intuitive approach to extreme value theory. This approach was devised mostly for pedagogical reason.

math.PR2008★ 2 cited

Veraverbeke's theorem at large - On the maximum of some processes with negative drift and heavy tail innovations

Philippe Barbe, Bill McCormick

Veraverbeke's (1977) theorem relates the tail of the distribution of the supremum of a random walk with negative drift to the tail of the distribution of its increments, or equival…