Large deviations of Poisson shot noise processes under heavy tail semi-exponential conditions

In this note we provide a large deviation principle for Poisson shot noise processes under heavy tail semi-exponential conditions on the total shot per arrival. As in the light tail case, our result shows an insensitivity property of the model.

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Year of publication:	2010
Authors:	Stabile, Gabriele ; Torrisi, Giovanni Luca
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 15-16, p. 1200-1209
Publisher:	Elsevier
Keywords:	Heavy tail distributions Large deviations Poisson shot noise processes Semi-exponential distributions

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008488232