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Statistics Colloquium by Ron Butler
Friday, Feb 19, 2016
2 p.m. - 3 p.m. Location: FO 2.404

Ron Butler

Statistical Science

Southern Methodist University 

Asymptotic expansions and hazard rates for compound and first-passage distributions

A general theory which provides asymptotic tail expansions for density, survival, and hazard rate functions is developed for both absolutely continuous and integer-valued distributions. The expansions make use of Tauberian theorems which apply to moment generating functions (MGFs) with boundary singularities that are of gamma-type or log-type. Standard Tauberian theorems from Feller (1971) can provide a limited theory but these theorems do not suffice in providing a complete theory as they are not capable of explaining tail behaviour for compound distributions and other complicated distributions which arise in stochastic modelling settings. Obtaining such a complete theory for absolutely continuous distributions requires introducing new "Ikehara'' conditions based upon Tauberian theorems whose development and application have been largely confined to analytic number theory. For integer-valued distributions, a complete theory is developed by applying Darboux's theorem used in analytic combinatorics. Characterizations of asymptotic hazard rates for both absolutely continuous and integer-valued distributions are developed in conjunction with these expansions. The main applications include the ruin distribution in the Cramer-Lundberg and Sparre Andersen models, more general classes of compound distributions, and first-passage distributions in finite-state semi-Markov processes. Such first-passage distributions are shown to have exponential-like/geometric-like tails which mimic the behaviour of first-passage distributions in Markov processes even though the holding-time MGFs involved with such semi-Markov processes are typically not rational.

Sponsored by the Department of Mathematical Sciences

 

Contact Info:
John Zweck, 972-883-6699
Questions? Email me.

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