Ontology type: schema:Chapter Open Access: True
2015
AUTHORSMaëva Biret , Michel Broniatowski , Zansheng Cao
ABSTRACTThis paper states asymptotic equivalents for the moments of the Esscher transform of a distribution on \(\mathbb {R}\) with smooth density in the upper tail. As a by-product it provides a tail approximation for its moment generating function, and shows that the Esscher transforms have a Gaussian behavior for large values of the parameter. More... »
PAGES67-92
Mathematical Statistics and Limit Theorems
ISBN
978-3-319-12441-4
978-3-319-12442-1
http://scigraph.springernature.com/pub.10.1007/978-3-319-12442-1_5
DOIhttp://dx.doi.org/10.1007/978-3-319-12442-1_5
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