Integrability of infinite weighted sums of heavy-tailed i.i.d.\ random variables. (Q1766072)
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scientific article; zbMATH DE number 2138963
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| English | Integrability of infinite weighted sums of heavy-tailed i.i.d.\ random variables. |
scientific article; zbMATH DE number 2138963 |
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Integrability of infinite weighted sums of heavy-tailed i.i.d.\ random variables. (English)
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25 February 2005
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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.
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characteristic function
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heavy-tailed distribution
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integrability
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linear process
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stationary distribution
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sum of independent random variables
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0.8230029940605164
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0.8216660022735596
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0.8212372064590454
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0.8074372410774231
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