Closure property and maximum of randomly weighted sums with heavy-tailed increments

DOI10.1016/j.spl.2014.04.020zbMath1288.62078OpenAlexW1985558675MaRDI QIDQ2454010

Yang Yang, Remigijus Leipus, Jonas Šiaulys

Publication date: 12 June 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.04.020

zbMATH Keywords

dependencedominatedly varying tailslong tails

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistics of extreme values; tail inference (62G32)

Related Items (3)

Unnamed Item ⋮ On the generalized multivariate Gumbel distribution ⋮ Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables

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