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A renewal theorem in the finite-mean case
Author(s):
J.
L.
Geluk
Journal:
Proc. Amer. Math. Soc.
125
(1997),
3407-3413.
MSC (1991):
Primary 60K05
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Abstract:
Let be a c.d.f. on such that is regularly varying with exponent . Then as , where is the renewal function associated with . Moreover similar estimates are given for distributions in the domain of attraction of the normal distribution and for the variance of The estimates improve earlier results of Teugels and Mohan.
References:
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- Anderson, K.K., Athreya, K.B. (1987). A renewal theorem in the infinite mean case. Ann. Prob. 15 388-393. MR 88f:60154
- 2.
- Bingham, N.H., Goldie, C.M. and Teugels, J.L. (1987). Regular variation. Cambridge Univ. Press. MR 88i:26004
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- Erickson, K.B. (1970). Strong renewal theorems with infinite mean. Trans. Amer. Math. Soc. 151 263-291. MR 42:3873
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- 7.
- Geluk, J.L., de Haan, L. (1987). Regular variation, extensions and Tauberian Theorems, CWI Tract 40, Centre for Mathematics and Computer Science, Amsterdam. MR 89a:26002
- 8.
- Mohan, N.R. (1976). Teugels' renewal theorem and stable laws. Ann. Prob. 4 863-868. MR 54:6312
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- Resnick, S.I. (1987). Extreme values, regular variation and point processes, Springer Verlag, Berlin. MR 89b:60241
- 10.
- Smith, W.L. (1954). Asymptotic renewal theorems. Proc. Roy. Soc. Edinburgh Ser. A. 64 9-48. MR 15:722f
- 11.
- Smith, W.L. (1962). A note on the renewal function when the mean renewal lifetime is infinite. J. Roy. Statist. Soc. Ser. B 23 230-237. MR 23:A2963
- 12.
- Teugels, J.L. (1968). Renewal theorems when the first or the second moment is infinite. Ann. Math. Statist. 39 1210-1219. MR 37:5952
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Additional Information:
J.
L.
Geluk
Affiliation:
Econometric Institute, Erasmus University Rotterdam, P.O. Box 1738, NL-3000 DR Rotterdam, The Netherlands
Email:
jgeluk@few.eur.nl
DOI:
10.1090/S0002-9939-97-03955-5
PII:
S 0002-9939(97)03955-5
Keywords:
Renewal function,
regular variation,
key renewal theorem,
domain of attraction
Received by editor(s):
March 12, 1996
Received by editor(s) in revised form:
June 21, 1996
Communicated by:
Stanley Sawyer
Copyright of article:
Copyright
1997,
American Mathematical Society
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