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Asymptotic Expansion for the Distribution Density Function of the Compound Poisson Process in Large Deviations

Author

Listed:
  • Aurelija Kasparavičiūtė

    (Vilnius Gediminas Technical University)

  • Dovilė Deltuvienė

    (Vilnius Gediminas Technical University)

Abstract

The paper is devoted to obtaining the asymptotic expansion and determination of the structure of the remainder term taking into consideration large deviations in the Cramér zone for the distribution density function of the standardized compound Poisson process. Following Deltuvienė and Saulis (Acta Appl Math 78:87–97, 2003. doi: 10.1023/A:1025783905023 ; Lith Math J 41:620–625, 2001) and Saulis and Statulevičius [Limit theorems for large deviations. Mathematics and its applications (Soviet Series), vol 73, pp 154–187, Kluwer, Dordrecht, 1991], the solution to the problem is achieved by first using a general lemma presented by Saulis (see Lemma 6.1 in Saulis and Statulevičius 1991, p. 154) on the asymptotic expansion for the density function of an arbitrary random variable with zero mean and unit variance and combining methods for cumulants and characteristic functions. By taking into consideration the large deviations in the Cramér zone for the density function of the standardized compound Poisson process, the result for the asymptotic expansion extends the asymptotic expansions for the density function of the sums of non-random number of summands (Deltuvienė and Saulis 2003, 2001).

Suggested Citation

  • Aurelija Kasparavičiūtė & Dovilė Deltuvienė, 2017. "Asymptotic Expansion for the Distribution Density Function of the Compound Poisson Process in Large Deviations," Journal of Theoretical Probability, Springer, vol. 30(4), pages 1655-1676, December.
    • Handle: RePEc:spr:jotpro:v:30:y:2017:i:4:d:10.1007_s10959-016-0696-2
    DOI: 10.1007/s10959-016-0696-2
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    References listed on IDEAS

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    1. Gutti Babu & Kesar Singh & Yaning Yang, 2003. "Edgeworth expansions for compound Poisson processes and the bootstrap," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(1), pages 83-94, March.
    2. Hanna Döring & Peter Eichelsbacher, 2013. "Moderate Deviations via Cumulants," Journal of Theoretical Probability, Springer, vol. 26(2), pages 360-385, June.
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