Integrability of infinite weighted sums of heavy-tailed i.i.d.\ random variables. (Q1766072): Difference between revisions
From MaRDI portal
Latest revision as of 19:07, 7 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Integrability of infinite weighted sums of heavy-tailed i.i.d.\ random variables. |
scientific article |
Statements
Integrability of infinite weighted sums of heavy-tailed i.i.d.\ random variables. (English)
0 references
25 February 2005
0 references
The paper considers weighted sums of i.i.d.\ real random variables. The sums are supposed to be a.s.\ absolutely summable and the author investigates their integrability. He presents integrability conditions of a summand which are sufficient and necessary for a prescribed integrability of the sum.
0 references
characteristic function
0 references
heavy-tailed distribution
0 references
integrability
0 references
linear process
0 references
stationary distribution
0 references
sum of independent random variables
0 references
0 references
