Tail asymptotics of light-tailed Weibull-like sums

Détails

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Etat: Public
Version: de l'auteur⸱e
ID Serval
serval:BIB_44764FBC403A
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Tail asymptotics of light-tailed Weibull-like sums
Périodique
Probability and Mathematical Statistics
Auteur⸱e⸱s
Asmussen S., Hashorva E., Laub P., Taimre T.
Statut éditorial
Publié
Date de publication
01/12/2017
Peer-reviewed
Oui
Volume
37
Numéro
2
Pages
235-256
Langue
anglais
Résumé
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.

Mots-clé
Gumbel MDA, Laplace transform, rare-event simulation, sums of of random variables, Weibull distribution
Création de la notice
06/06/2017 22:45
Dernière modification de la notice
21/08/2019 6:09
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