On the long tail property of product convolution

Autor: Cui, Zhaolei, Jiang, Guancheng, Wang, Yuebao
Rok vydání: 2019
Předmět:
Druh dokumentu: Working Paper
Popis: Let $X$ and $Y$ be two independent random variables with corresponding distributions $F$ and $G$ supported on $[0,\infty)$. The distribution of the product $XY$, which is called the product convolution of $F$ and $G$, is denoted by $H$. In this paper, some suitable conditions about $F $ and $G $ are given, under which the distribution $H$ belongs to the long-tailed distribution class. Here, $F$ is a generalized long-tailed distribution and is not necessarily an exponential distribution. Finally, a series of examples are given to show that the above conditions are satisfied by many distributions and one of them is necessary in some sense.
Databáze: arXiv