Tail asymptotics of the nth convolution of super-exponential distributions
In this paper we consider distribution density with . Suppose that pn(x) is n-convolution of p(x) then in some regularity conditions on r(x) (in terms of h(x): slow variation, regular variation and tendency to infinity faster than any power of x) the following formula is proved: for any fixed n>1 as x-->[infinity]pn(x)=n-1/2(2[pi])(n-1)/2(r''(x/n))-(n-1)/2exp(-nr(x/n))(1+o(1)).
Year of publication: |
2006
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Authors: | Nagaev, A. ; Tsitsiashvili, G. |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 76.2006, 9, p. 861-870
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Publisher: |
Elsevier |
Keywords: | Abel theorem Conjugate density Laplace's method |
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