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

DOI10.1007/S10986-016-9303-6MaRDI QIDQ282131zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3117929 (Why is no real title available?)
• scientific article; zbMATH DE number 3798860 (Why is no real title available?)
• A new extension of bivariate FGM copulas
• A note on a dependent risk model with constant interest rate
• A note on max-sum equivalence
• Analytic Inequalities
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• Bivariate Exponential Distributions
• Insensitivity to negative dependence of the asymptotic behavior of precise large deviations
• Max-sum equivalence of conditionally dependent random variables
• Modifications of the Farlie-Gumbel-Morgenstern distributions. A tough hill to climb.
• New generalized Farlie-Gumbel-Morgenstern distributions and concomitants of order statistics
• Precise large deviations for dependent random variables with heavy tails
• Some concepts of negative dependence
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
• The new generalization of Farlie-Gumbel-Morgenstern copulas
• The performance of some correlation coefficients for a general bivariate distribution

Cited in

(11)

• Asymptotic risk decomposition for regularly varying distributions with tail dependence
• Asymptotics for the partial sum and its maximum of dependent random variables
• Maximum of partial sums and an invariance principle for a class of weak dependent random variables
• Expectation of the truncated randomly weighted sums with dominatedly varying summands
• Minimum of dependent random variables with convolution-equivalent distributions
• Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
• The local max-sum equivalence of real valued random walks with heavy-tailed increments following FGM copula
• scientific article; zbMATH DE number 6288723 (Why is no real title available?)
• Max-sum equivalence of conditionally dependent random variables
• Bounds for the Clayton copula
• Max-sum local equivalence of random variables with Farlie-Gumbel-Morgenstern joint distribution

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