Tail asymptotics of light-tailed Weibull-like sums
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Download: WeibullLikeSumsPMS.pdf (272.64 [Ko])
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Version: author
State: Public
Version: author
Serval ID
serval:BIB_44764FBC403A
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Tail asymptotics of light-tailed Weibull-like sums
Journal
Probability and Mathematical Statistics
Publication state
Published
Issued date
01/12/2017
Peer-reviewed
Oui
Volume
37
Number
2
Pages
235-256
Language
english
Abstract
Abstract: We consider sums of n i.i.d. random variables with tails close to exp{−x^β} for some β > 1. Asymptotics developed by Rootzén (1987) and Balkema, Klüppelberg, and Resnick (1993) are discussed from the point of view of tails rather than of densities, using a somewhat different angle, and supplemented with bounds, results on a random number N of terms, and simulation algorithms.
Keywords
Gumbel MDA, Laplace transform, rare-event simulation, sums of of random variables, Weibull distribution
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Create date
06/06/2017 22:45
Last modification date
21/08/2019 6:09