Randomly stopped sums of not identically distributed heavy tailed random variables

DOI10.1016/j.spl.2016.03.001zbMath1382.60027OpenAlexW2292976891MaRDI QIDQ274177

Jonas Šiaulys, Svetlana Danilenko

Publication date: 22 April 2016

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

Full work available at URL: https://doi.org/10.1016/j.spl.2016.03.001

zbMATH Keywords

heavy tailclosure propertydominatingly varying tailnot identically distributed random variablesrandom sum

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Extreme value theory; extremal stochastic processes (60G70) Probability distributions: general theory (60E05)

Related Items (11)

On the long tail property of product convolution ⋮ Closure properties of \(O\)-exponential distributions ⋮ Randomly stopped sums with consistently varying distributions ⋮ Closure property of consistently varying random variables based on precise large deviation principles ⋮ On the random max-closure for heavy-tailed random variables ⋮ Regularly distributed randomly stopped sum, minimum, and maximum ⋮ On compound sums under dependence ⋮ Randomly stopped maximum and maximum of sums with consistently varying distributions ⋮ Randomly stopped sums with exponential-type distributions ⋮ Randomly stopped minima and maxima with exponential-type distributions ⋮ On bivariate compound sums

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