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

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  • Li, Xiaohu
  • Wu, Jintang

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.

Suggested Citation

  • Li, Xiaohu & Wu, Jintang, 2014. "Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time," Statistics & Probability Letters, Elsevier, vol. 88(C), pages 15-26.
    • Handle: RePEc:eee:stapro:v:88:y:2014:i:c:p:15-26
    DOI: 10.1016/j.spl.2014.01.026
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    References listed on IDEAS

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    Cited by:

    1. Yiqing Chen, 2019. "A Renewal Shot Noise Process with Subexponential Shot Marks," Risks, MDPI, vol. 7(2), pages 1-8, June.

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