Asymptotic formulas for the left truncated moments of sums with consistently varying distributed increments

Autor:	Jonas Sprindys, Jonas Šiaulys
Jazyk:	angličtina
Rok vydání:	2021
Předmět:	sum of random variables asymptotic independence tail moment truncated moment heavy tail consistently varying distribution Analysis QA299.6-433
Zdroj:	Nonlinear Analysis, Vol 26, Iss 6 (2021)
Druh dokumentu:	article
ISSN:	1392-5113 2335-8963
DOI:	10.15388/namc.2021.26.24608
Popis:	In this paper, we consider the sum Snξ = ξ1 + ... + ξn of possibly dependent and nonidentically distributed real-valued random variables ξ1, ... , ξn with consistently varying distributions. By assuming that collection {ξ1, ... , ξn} follows the dependence structure, similar to the asymptotic independence, we obtain the asymptotic relations for E((Snξ)α1(Snξ > x)) and E((Snξ – x)+)α, where α is an arbitrary nonnegative real number. The obtained results have applications in various fields of applied probability, including risk theory and random walks.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/65c62853d32c419884bd494bca83ca7c Zobrazit plný text záznamu View record in DOAJ