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

Xiaohu Li; Jintang Wu

doi:10.1016/j.spl.2014.01.026

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

Xiaohu Li
, Jintang Wu

Department of Mathematical Sciences

Xiamen University

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	15-26
Number of pages	12
Journal	Statistics and Probability Letters
Volume	88
Issue number	1
DOIs	https://doi.org/10.1016/j.spl.2014.01.026
State	Published - May 2014

Keywords

Asymptotic independence
Copula
Multivariate regular varying
Tail equivalence

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10.1016/j.spl.2014.01.026

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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.",

keywords = "Asymptotic independence, Copula, Multivariate regular varying, Tail equivalence",

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AU - Li, Xiaohu

AU - Wu, Jintang

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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

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UR - https://www.scopus.com/pages/publications/84896331723#tab=citedBy

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EP - 26

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 1

ER -

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

Abstract

Keywords

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