The Uniform Asymptotics for the Tail of Poisson Shot Noise Process with Dependent and Heavy-Tailed Shocks
作者机构：School of Mathematical Sciences Suzhou University of Science and Technology School of Statistics and Data Science Nanjing Audit University Department of Statistics and Actuarial Science The University of Hong Kong
出 版 物：《Journal of Mathematical Research with Applications》 (数学研究及应用(英文))
年 卷 期：2023年第43卷第3期
页 面：335-349页
核心收录：
学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学]
基 金：Supported by the National Social Science Fund of China (Grant No. 22BTJ060) the Humanities and Social Sciences Foundation of the Ministry of Education of China (Grant No. 20YJA910006) the Natural Science Foundation of Jiangsu Province (Grant No. BK20201396) the Natural Science Foundation of the Jiangsu Higher Education Institutions (Grant No. 19KJA180003) the Grant from the Research Grants Council of the Hong Kong Special Administrative Region,China (Grant No. HKU17306220) the 333 High Level Talent Training Project of Jiangsu Province
主 题：Poisson shot noise process dependent shock heavy-tailed distribution uniform asymptotics
摘 要：This paper considers the uniform asymptotic tail behavior of a Poisson shot noise process with some dependent and heavy-tailed shocks. When the shocks are bivariate upper tail asymptotic independent nonnegative random variables with long-tailed and dominatedly varying tailed distributions, and the shot noise function has both positive lower and upper bounds, a uniform asymptotic formula for the tail probability of the process has been established.Furthermore, when the shocks have continuous and consistently varying tailed distributions, the positive lower-bound condition on the shot noise function can be removed. For the case that the shot noise function is not necessarily upper-bounded, a uniform asymptotic result is also obtained when the shocks follow a pairwise negatively quadrant dependence structure.
同方期刊数据库