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Tail asymptotics for the area under the excursion of a random walk with heavy-tailed increments.
Denis Denisov
Elena Perfilev
Vitali Wachtel
Published in:
J. Appl. Probab. (2021)
Keyphrases
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heavy tailed
random walk
large deviations
markov chain
stationary distribution
generalized gaussian
directed graph
markov random walk
transition probability matrix
steady state
prior distribution
maximum a posteriori
social networks
model selection
maximum likelihood
support vector
multiscale