On the long tail property of product convolution

DOI10.1007/S10986-020-09482-WMaRDI QIDQ829815zbMATH OpenOpenAlexFDO

Authors Zhaolei Cui, Yuebao Wang

Publication date 6 May 2021

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1901.01399

zbMATH Keywords

exponential distributiongeneralized long-tailed distributionlong tail propertyproduct convolution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Asymptotic distribution theory in statistics (62E20) Sums of independent random variables; random walks (60G50)

Abstract: Let $X$ and $Y$ be two independent random variables with corresponding distributions $F$ and $G$ supported on $[0,infty)$. The distribution of the product $XY$, which is called the product convolution of $F$ and $G$, is denoted by $H$. In this paper, some suitable conditions about $F$ and $G$ are given, under which the distribution $H$ belongs to the long-tailed distribution class. Here, $F$ is a generalized long-tailed distribution and is not necessarily an exponential distribution. Finally, a series of examples are given to show that the above conditions are satisfied by many distributions and one of them is necessary in some sense.

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Cited in

(8)

• Convolution tails, product tails and domains of attraction
• Convolution and convolution-root properties of long-tailed distributions
• Convolutions of Long-Tailed and Subexponential Distributions
• Properties of the random effect transformation
• From light tails to heavy tails through multiplier
• A note on product-convolution for generalized subexponential distributions
• On convolution equivalence with applications
• On the distribution-tail behaviour of the product of normal random variables

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