A note on the asymptotics for the randomly stopped weighted sums
| Autor: | Xing-Fang Huang, Xi-Xi Shi, Yang Yang |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: |
Independent and identically distributed random variables
Sequence heavy tail Applied Mathematics 010102 general mathematics Structure (category theory) Zero (complex analysis) lcsh:QA299.6-433 lcsh:Analysis 01 natural sciences Combinatorics 010104 statistics & probability asymptotics Heavy-tailed distribution widely orthant dependence randomly weighted sums 0101 mathematics Random variable Analysis Mathematics |
| Zdroj: | Nonlinear Analysis, Vol 23, Iss 2 (2018) |
| ISSN: | 2335-8963 1392-5113 |
| Popis: | Let {Xi , i ⩾ 1} be a sequence of identically distributed real-valued random variables with common distribution FX; let {θi , i ⩾ 1} be a sequence of identically distributed, nonnegative and nondegenerate at zero random variables; and let τ be a positive integer-valued counting random variable. Assume that {Xi , i ⩾ 1}, {θi , i ⩾ 1} and τ are mutually independent. In the presence of heavy-tailed Xi's, this paper investigates the asymptotic tail behavior for the maximum of randomly weighted sums Mτ = max1 ⩽ k ⩽ τ ∑ki = 1θi Xi under the condition that {θi , i ⩾ 1} satisfy a general dependence structure. |
| Databáze: | OpenAIRE |
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