Some properties of subexponential distributions (Q1277430): Difference between revisions
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Revision as of 12:07, 16 February 2024
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English | Some properties of subexponential distributions |
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Some properties of subexponential distributions (English)
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27 April 1999
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Recall that a distribution is called subexponential if the decay of the survival function of the convolution product has twice the size as the original survival function as \(t\to\infty\). The class of subexponential distributions \(S\) is studied under the operations \(\max(X,Y)\) and \(\min(X,Y)\), where \(X\) and \(Y\) are independent random variables with distribution in \(S\). It is shown that \(\max(X,Y)\) is in \(S\) if and only if \(X+Y\) belongs to \(S\). The case is more complicated for \(\min(X,Y)\).
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subexponential distribution
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convolution
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extremes
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