On a transformation between distributions obeying the principle of a single big jump

DOI10.1016/J.JMAA.2015.05.011MaRDI QIDQ2352853zbMATH OpenOpenAlexFDO

Authors Hui Xu, Michael Scheutzow, Yuebao Wang

Publication date 6 July 2015

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1411.1625

zbMATH Keywords

convolution equivalent distributionlight-tailed distributionprinciple of a single big jumptransformationweak tail equivalence

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

Abstract: Beck et al. (2013) introduced a new distribution class J which contains many heavy-tailed and light-tailed distributions obeying the principle of a single big jump. Using a simple transformation which maps heavy-tailed distributions to light-tailed ones, we find some light-tailed distributions, which belong to the class J but do not belong to the convolution equivalent distribution class and which are not even weakly tail equivalent to any convolution equivalent distribution. This fact helps to understand the structure of the light-tailed distributions in the class J and leads to a negative answer to an open question raised by the above paper.

Review text

Let \(\{X_i: i \geq 1\}\) be a sequence of independent and identically distributed random variables with common distribution function \(F.\) Let \(\mathcal I\) denote the set of all distributions \(F\) with unbounded support contained in \([0, \infty)\) such that for all \(n\geq 2\), \(\lim_{K\rightarrow \infty}\liminf_{x\rightarrow \infty}P(X_{n,1}>x-K|S_n>x)=1\), where \(X_{n,1}=\max\{X_i: 1 \leq i \leq n\}\) and \(S_n=\sum_{i=1}^n X_i\). Such a distribution \(F\) in \(\mathcal I\) is said to obey the principle of a single big jump. \textit{S. Beck} et al. [Bernoulli 21, No. 4, 2457--2483 (2015; Zbl 1362.60007)] introduced the class of distributions \(\mathcal I\) and observed that the class \(\mathcal I\) contains many heavy-tailed and light tailed distributions \(F\) obeying the principle of a single big jump. The authors study here the structure of light-tailed distributions in the class \(\mathcal I.\)

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Cited in

(10)

• Closure properties of \(O\)-exponential distributions
• The local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summands
• Semi-heavy tails
• Some positive conclusions related to the Embrechts-Goldie conjecture
• On the closure under infinitely divisible distribution roots
• Randomly stopped minima and maxima with exponential-type distributions
• On the structure of a class of distributions obeying the principle of a single big jump
• Properties of the random effect transformation
• The principle of a single big jump from the perspective of tail moment risk measure
• On the long tail property of product convolution

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