Limiting properties of Poisson shot noise processes

DOI10.1239/jap/1091543433zbMath1068.60031OpenAlexW2001312166MaRDI QIDQ4668008

Yuanhui Xiao, Robert B. Lund, William P. McCormick

Publication date: 18 April 2005

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1091543433

zbMATH Keywords

law of large numberscentral limit theoremimpulse responsecompound Poisson process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

Related Items (11)

On a new shot noise process and the induced survival model ⋮ Precise Large Deviations for the Actual Aggregate Loss Process ⋮ On convolution equivalence with applications ⋮ On Some Shock Models with Poisson and Generalized Poisson Shock Processes ⋮ A dynamic bivariate common shock model with cumulative effect and its actuarial application ⋮ Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications ⋮ Sample path large deviations for the multiplicative Poisson shot noise process with compensation ⋮ Functional limit theorems for a new class of non-stationary shot noise processes ⋮ Large deviations for multidimensional state-dependent shot-noise processes ⋮ Statistical estimation for a failure model with damage accumulation in a case of small samples ⋮ On a multivariate IFR and positively dependent lifetime model induced by multiple shot-noise processes

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