Tail Calculus with Remainder,Applications to Tail Expansions for Infinite Order Moving Averages,Randomly Stopped Sums,and Related Topics |
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| Authors: | Ph?Barbe Email author" target="_blank">W?P?McCormickEmail author |
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| Institution: | (1) CNRS, 90 rue de Vaugirard, 75006 Paris, France;(2) Department of Statistics, University of Georgia, Athens, GA 30602, USA |
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| Abstract: | We derive asymptotic expansions for tails of infinite weighted convolutions of some heavy-tailed distributions. Applications
are given to tail expansion of the marginal distribution of ARMA processes, randomly stopped sums, as well as limiting waiting
time distribution.
AMS 2000 Subject Classifications. Primary—62E99, Secondary—41A60, 44A35, 60G50, 60K25 |
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| Keywords: | asymptotic expansion convolution heavy tail infinite order moving averages limiting waiting time distribution randomly stopped sums |
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