Asymptotic expansions of convolutions of regularly varying distributions

DOI10.1017/S1446788700008570zbMath1071.62016OpenAlexW2131168462MaRDI QIDQ5694829

Philippe Barbe, William P. McCormick

Publication date: 5 October 2005

Published in: Journal of the Australian Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1446788700008570

zbMATH Keywords

regular variationheavy tailstail area

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Approximations to statistical distributions (nonasymptotic) (62E17)

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Uses Software

• Maple

Cites Work

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• On convolution tails
• On the estimation of extreme tail probabilities
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• On Probabilities of Large Deviations for Random Walks. I. Regularly Varying Distribution Tails
• Point processes, regular variation and weak convergence