A Sharp Abelian Theorem for the Laplace Transform

DOI10.1007/978-3-319-12442-1_5zbMATH Open1328.60047arXiv1309.6267OpenAlexW1599721460MaRDI QIDQ5258884

Zansheng Cao, Maëva Biret, M. Broniatowski

Publication date: 24 June 2015

Published in: Mathematical Statistics and Limit Theorems (Search for Journal in Brave)

Abstract: This paper states asymptotic equivalents for the three first moments of the Eescher transform of a distribution on R with smooth density in the upper tail. As a by product if provides a tail approximation for its moment generating function, and shows that the Esscher transforms have a Gaussian behavior for large values of the parameter.

Full work available at URL: https://arxiv.org/abs/1309.6267

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10)

Related Items (3)

A Gibbs Conditional Theorem under Extreme Deviation ⋮ Complex variants of abelian theorem for laplace transform ⋮ Light tails: all summands are large when the empirical mean is large

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