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1 décembre 2017
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Chance variables Stochastic variablesCiter ce document
S. Asmussen et al., « Tail asymptotics of light-tailed Weibull-like sums », Serveur académique Lausannois, ID : 10670/1.w4x6b3
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: We consider sums of n i.i.d. random variables with tails close to exp{−x^β} for some β > 1. Asymptotics developed by Rootzén (1987) and Balkema, Klüppelberg, and Resnick (1993) are discussed from the point of view of tails rather than of densities, using a somewhat different angle, and supplemented with bounds, results on a random number N of terms, and simulation algorithms.