Weak max-sum equivalence for dependent heavy-tailed random variables

DOI10.1007/S10986-016-9303-6zbMATH Open1385.60026OpenAlexW2314111051MaRDI QIDQ282131FDOQ282131

Authors: Lina Dindienė, Remigijus Leipus 

Publication date: 12 May 2016

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

Full work available at URL: https://doi.org/10.1007/s10986-016-9303-6

Recommendations

• Randomly weighted sums and their maxima with heavy-tailed increments and dependence structure
• Tail behavior of sums and maxima of sums of dependent subexponential random variables
• Closure property and maximum of randomly weighted sums with heavy-tailed increments
• Maxima of sums and random sums for random variables with dominately varying tails
• Maxima of Sums of Heavy-Tailed Random Variables

zbMATH Keywords

copulaheavy tailsdominatedly varying tailsnegative dependenceweak max-sum equivalence

Mathematics Subject Classification ID

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

Cites Work

• Analytic Inequalities
• Bivariate Exponential Distributions
• Title not available (Why is that?)
• The performance of some correlation coefficients for a general bivariate distribution
• Modifications of the Farlie-Gumbel-Morgenstern distributions. A tough hill to climb.
• A new extension of bivariate FGM copulas
• Some concepts of negative dependence
• Precise large deviations for dependent random variables with heavy tails
• A note on a dependent risk model with constant interest rate
• Insensitivity to negative dependence of the asymptotic behavior of precise large deviations
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• Max-sum equivalence of conditionally dependent random variables
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
• New generalized Farlie-Gumbel-Morgenstern distributions and concomitants of order statistics
• Title not available (Why is that?)
• The new generalization of Farlie-Gumbel-Morgenstern copulas
• A note on max-sum equivalence

Cited In (11)

• Expectation of the truncated randomly weighted sums with dominatedly varying summands
• Max-sum local equivalence of random variables with Farlie-Gumbel-Morgenstern joint distribution
• Asymptotic risk decomposition for regularly varying distributions with tail dependence
• Title not available (Why is that?)
• Maximum of partial sums and an invariance principle for a class of weak dependent random variables
• Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
• Bounds for the Clayton copula
• Asymptotics for the partial sum and its maximum of dependent random variables
• Max-sum equivalence of conditionally dependent random variables
• Minimum of dependent random variables with convolution-equivalent distributions
• The local max-sum equivalence of real valued random walks with heavy-tailed increments following FGM copula

This page was built for publication: Weak max-sum equivalence for dependent heavy-tailed random variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q282131)