The local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summands
From MaRDI portal
Publication:1706462
DOI10.1007/s00362-016-0754-yzbMath1387.60078arXiv1406.3234OpenAlexW2123178593MaRDI QIDQ1706462
Hui Xu, Dong Ya Cheng, Yue-bao Wang, Chang Jun Yu
Publication date: 22 March 2018
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1406.3234
random walksupremumgeneralized locally subexponential distributiongeneralized strong subexponential distributionlocal asymptotic estimation
Sums of independent random variables; random walks (60G50) Probability distributions: general theory (60E05) Limit theorems in probability theory (60F99)
Related Items (7)
On the long tail property of product convolution ⋮ A note on product-convolution for generalized subexponential distributions ⋮ Asymptotics of convolution with the semi-regular-variation tail and its application to risk ⋮ A necessary and sufficient condition for the subexponentiality of the product convolution ⋮ Some positive conclusions related to the Embrechts-Goldie conjecture ⋮ On the almost decrease of a subexponential density ⋮ Embrechts-Goldie's problem on the class of lattice convolution equivalent distributions
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Some discussions on the local distribution classes
- Asymptotic behavior of the ratio of tail probabilities of sum and maximum of independent random variables
- New examples of heavy-tailed O-subexponential distributions and related closure properties
- Some properties of the exponential distribution class with applications to risk theory
- Tail asymptotics for the supremum of a random walk when the mean is not finite
- Random walks with non-convolution equivalent increments and their applications
- The full solution of the convolution closure problem for convolution- equivalent distributions
- Reversed hazard rate order of equilibrium distributions and a related aging notion
- Lower limits and equivalences for convolution tails
- A new class of large claim size distributions: definition, properties, and ruin theory
- On asymptotic equivalence among the solutions of some defective renewal equations
- Convolution and convolution-root properties of long-tailed distributions
- Ratio of the tail of an infinitely divisible distribution on the line to that of its Lévy measure
- Lower limits and upper limits for tails of random sums supported on \(\mathbb R\)
- Some new equivalent conditions on asymptotics and local asymptotics for random sums and their applications
- Asymptotic behaviour of Wiener-Hopf factors of a random walk
- Degeneracy properties of subcritical branching processes
- Subexponential distributions and characterizations of related classes
- Asymptotic ordering of distribution functions and convolution semigroups
- Functions of probability measures
- Asymptotics for sums of random variables with local subexponential behaviour
- A local limit theorem for random walk maxima with heavy tails
- The maximum on a random time interval of a random walk with long-tailed increments and negative drift.
- On diagnostics in multivariate measurement error models under asymmetric heavy-tailed distributions
- Updating a nonlinear discriminant function estimated from a mixture of two inverse Weibull distributions
- On characterizations of the generalized Pareto distributions based on progressively censored order statistics
- On distribution tail of the maximum of a random walk
- Tail behavior of supremum of a random walk when Cramér's condition fails
- On a transformation between distributions obeying the principle of a single big jump
- Infinite divisibility and generalized subexponentiality
- Some new results on the subexponential class
- Subexponential distributions and integrated tails
- On the non-closure under convolution of the subexponential family
- Some asymptotic results for transient random walks
- An Introduction to Heavy-Tailed and Subexponential Distributions
- Asymptotics for the moments of the overshoot and undershoot of a random walk
- On the structure of a class of distributions obeying the principle of a single big jump
- Asymptotics of the density of the supremum of a random walk with heavy-tailed increments
This page was built for publication: The local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summands
