Tail Calculus with Remainder, Applications to Tail Expansions for Infinite Order Moving Averages, Randomly Stopped Sums, and Related Topics
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We derive asymptotic expansions for tails of infinite weighted convolutions of some heavy-tailed distributions. Applications are given to tail expansion of the marginal distribution of ARMA processes, randomly stopped sums, as well as limiting waiting time distribution.
Key wordsasymptotic expansion convolution heavy tail infinite order moving averages limiting waiting time distribution randomly stopped sums
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