Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time

Xiaohu Li, Jintang Wu

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)15-26
Number of pages12
JournalStatistics and Probability Letters
Volume88
Issue number1
DOIs
StatePublished - May 2014

Keywords

  • Asymptotic independence
  • Copula
  • Multivariate regular varying
  • Tail equivalence

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