Asymptotic expansions for infinite weighted convolutions of rapidly varying subexponential distributions

DOI10.1007/s00440-007-0082-1zbMath1142.60034arXivmath/0512141OpenAlexW2011481159WikidataQ126226935 ScholiaQ126226935MaRDI QIDQ2480825

Philippe Barbe, William P. McCormick

Publication date: 3 April 2008

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0512141

zbMATH Keywords

asymptotic expansionregular variationsubexponential distributiontail area approximationinfinite order moving averageweighted sum of random variables

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Sums of independent random variables; random walks (60G50) Limit theorems in probability theory (60F99)

Related Items (5)

Second order tail behaviour for heavy-tailed sums and their maxima with applications to ruin theory ⋮ From light tails to heavy tails through multiplier ⋮ Error rates and improved algorithms for rare event simulation with heavy Weibull tails ⋮ Higher-order expansions for compound distributions and ruin probabilities with subexponential claims ⋮ Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model

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