Large deviation theorems for weighted compound Poisson sums

• Autorzy: Bonin O.
• Języki publikacji: EN

Abstrakty

EN

In this paper we present two large deviation results for weighted compound sums ∑^N_{i = 1} a_i X_i, where X_i’s are i.i.d. (possibly lattice) random variables, a_i’s are non-negative real numbers, and N is a Poisson variable. These results are generalizations of approximations for non-weighted compound sums and for non-compound weighted sums.

Słowa kluczowe

EN

large deviation expansions; compound process; weighted sums; saddlepoint method

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2003
• Tom: Vol. 23, Fasc. 2
• Strony: 357--368
• Opis fizyczny: Bibliogr. 13 poz.

Twórcy

autor

Bonin O.

• IGN/COGIT, 2-4 avenue Pasteur, F-94165 Saint-Mandé Cedex, France

Bibliografia

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