Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1153661 | Statistics & Probability Letters | 2011 | 6 Pages |
Abstract
Let X1,X2,…XnX1,X2,…Xn be independent and identically distributed (i.i.d.) non-negative random variables with a common distribution function (d.f.) FF with unbounded support and EX12<∞. We show that for a large class of heavy tailed random variables with a finite variance the renewal function UU satisfies U(x)−xμ−μ22μ2∼−1μx∫x∞∫s∞(1−F(u))duds as x→∞x→∞.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
J.L. Geluk, J.B.G. Frenk,