TY - JOUR
T1 - Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time
AU - Li, Xiaohu
AU - Wu, Jintang
PY - 2014/5
Y1 - 2014/5
N2 - This paper studies the tail behavior of the Poisson shot-noise processes with interdependent and heavy-tailed random shocks. In the presence of statistical dependence between the shock and its arrival time we establish the asymptotic behavior of the tail probability. Two examples are presented as illustrations of the main results as well.
AB - This paper studies the tail behavior of the Poisson shot-noise processes with interdependent and heavy-tailed random shocks. In the presence of statistical dependence between the shock and its arrival time we establish the asymptotic behavior of the tail probability. Two examples are presented as illustrations of the main results as well.
KW - Asymptotic independence
KW - Copula
KW - Multivariate regular varying
KW - Tail equivalence
UR - http://www.scopus.com/inward/record.url?scp=84896331723&partnerID=8YFLogxK
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U2 - 10.1016/j.spl.2014.01.026
DO - 10.1016/j.spl.2014.01.026
M3 - Article
AN - SCOPUS:84896331723
SN - 0167-7152
VL - 88
SP - 15
EP - 26
JO - Statistics and Probability Letters
JF - Statistics and Probability Letters
IS - 1
ER -