Second order behaviour of the tail of a subordinated probability distribution (Q1074211): Difference between revisions
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Revision as of 23:23, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Second order behaviour of the tail of a subordinated probability distribution |
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Second order behaviour of the tail of a subordinated probability distribution (English)
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1986
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Let \(Y=\sum^{N}_{1}X_ i\) be the random sum of an i.i.d. sequence of positive random variables where N is independent of the summands and \(P(N=n)\) decreases exponentially. The authors investigate the asymptotic behaviour of \(P(Y>x)-EN\quad P(X_ 1>x)\) as \(x\to \infty\) under the condition that \(P(X_ 1>x)\) varies regularly with index in [-1,0].
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tail behaviour
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regular variation
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random sum
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