On rare and extreme events (Q1862289)

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On rare and extreme events
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    On rare and extreme events (English)
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    19 March 2003
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    Let \(0< S_1< S_2< \dots\) form a point process. Let \(X_1,X_2,\dots\) be independent and identically distributed random variables with common distribution function \(F(x)\). The authors review limit theorems available for the sum of \(X_{S_j}\), \(S_j\leq T\), \(T\to+\infty\), under a variety of assumptions on the point process \(S_j\), \(j\geq 1\), and on \(1- F(x)\) as \(x\to+\infty\). The results are then interpreted in terms of practical applications.
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    renewal process
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    Pareto tail
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    infinite variance
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    infinite expectation
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    partial sums
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    limit theorems
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