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

DOI10.1016/j.spl.2014.04.020zbMath1288.62078MaRDI 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

dependence; dominatedly varying tails; long tails

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

62H20: Measures of association (correlation, canonical correlation, etc.)

62G32: Statistics of extreme values; tail inference

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

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