메뉴 건너뛰기




Volumn 78, Issue 3, 2005, Pages 339-371

Asymptotic expansions of convolutions of regularly varying distributions

Author keywords

Asymptotic expansion; Convolution; Convolution algebra; Heavy tail; Regular variation; Tail area

Indexed keywords


EID: 21344469694     PISSN: 14467887     EISSN: None     Source Type: Journal    
DOI: 10.1017/s1446788700008570     Document Type: Article
Times cited : (21)

References (14)
  • 3
    • 0036347686 scopus 로고    scopus 로고
    • On probabilities of large deviations for random walks. I. Regularly varying distribution tails
    • A. A. Borovkov and K. A. Borovkov, 'On probabilities of large deviations for random walks. I. Regularly varying distribution tails', Theory Probab. Appl. 46 (2001), 193-213.
    • (2001) Theory Probab. Appl. , vol.46 , pp. 193-213
    • Borovkov, A.A.1    Borovkov, K.A.2
  • 4
    • 0003100554 scopus 로고
    • Robustness is the strategy of scientific model building
    • eds. R. L. Launer and G. N. Wilkinson Academic Press
    • G. E. P. Box, 'Robustness is the strategy of scientific model building', in: Statistics (eds. R. L. Launer and G. N. Wilkinson) (Academic Press, 1979).
    • (1979) Statistics
    • Box, G.E.P.1
  • 5
    • 0009148372 scopus 로고
    • On the tail of the stationary waiting time distribution and limit theorems for the M/G/1 queue
    • J. W. Cohen, 'On the tail of the stationary waiting time distribution and limit theorems for the M/G/1 queue', Ann. Inst. H. Poincaré Probab. Statist. 8 (1972), 255-263.
    • (1972) Ann. Inst. H. Poincaré Probab. Statist. , vol.8 , pp. 255-263
    • Cohen, J.W.1
  • 9
    • 0004163149 scopus 로고
    • Lecture Notes Monograph Series 13 Institute of Mathematical Statistics, Hayward, California
    • C. Field and E. Ronchetti, Small sample asymptotics, Lecture Notes Monograph Series 13 (Institute of Mathematical Statistics, Hayward, California, 1990).
    • (1990) Small Sample Asymptotics
    • Field, C.1    Ronchetti, E.2
  • 10
    • 0034431240 scopus 로고    scopus 로고
    • Convolutions of heavy tailed random variables and applications to portfolio diversification and MA(1) time series
    • J. Geluk, L. Peng and G. de Vries, 'Convolutions of heavy tailed random variables and applications to portfolio diversification and MA(1) time series', Adv. Appl. Probab. 32 (2000), 1011-1026.
    • (2000) Adv. Appl. Probab. , vol.32 , pp. 1011-1026
    • Geluk, J.1    Peng, L.2    De Vries, G.3
  • 11
    • 0031505395 scopus 로고    scopus 로고
    • On the estimation of extreme tail probabilities
    • P. Hall and I. Weissman, 'On the estimation of extreme tail probabilities', Ann. Statist. 25 (1997), 1311-1326.
    • (1997) Ann. Statist. , vol.25 , pp. 1311-1326
    • Hall, P.1    Weissman, I.2
  • 12
    • 0002095272 scopus 로고
    • Point processes, regular variation and weak convergence
    • S. I. Resnick, 'Point processes, regular variation and weak convergence', Adv. Appl. Probab. 18 (1986), 66-138.
    • (1986) Adv. Appl. Probab. , vol.18 , pp. 66-138
    • Resnick, S.I.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.