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

Xiaohu Li and Jintang Wu

Statistics & Probability Letters, 2014, vol. 88, issue C, 15-26

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 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:88:y:2014:i:c:p:15-26

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DOI: 10.1016/j.spl.2014.01.026

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