Tail behavior of randomly weighted sums

DOI10.1239/AAP/1346955265MaRDI QIDQ3167339zbMATH OpenOpenAlexFDO

Authors Rajat Subhra Hazra, Krishanu Maulik

Publication date 2 November 2012

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1011.4349, https://projecteuclid.org/euclid.aap/1346955265

zbMATH Keywords

asymptotic independenceregular variationsubexponentialheavy tailproduct of random variablesBreiman's theorem

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Abstract: Let $X_t,tgeq1$ be a sequence of identically distributed and pairwise asymptotically independent random variables with regularly varying tails and $Thet{a}_t,tgeq1$ be a sequence of positive random variables independent of the sequence $X_t,tgeq1$. We shall discuss the tail probabilities and almost sure convergence of $xinf=su{m}_{t=1}^{infty}Thet{a}_t{X}_t^{+}$ (where $X^{+}=max0,X$) and $ma{x}_{1leqk<infty}su{m}_{t=1}^{k}Thet{a}_t{X}_t$ and provide some sufficient conditions motivated by Denisov and Zwart (2007) as alternatives to the usual moment conditions. In particular, we illustrate how the conditions on the slowly varying function involved in the tail probability of $X_1$ helps to control the tail behavior of the randomly weighted sums. Note that, the above results allow us to choose $X_1,X_2,\mathrm{...}$ as independent and identically distributed positive random variables. If $X_1$ has regularly varying tail of index $-alpha$, where $alpha>0$, and if $Thet{a}_t,tgeq1$ is a positive sequence of random variables independent of $X_t$, then it is known, which can also be obtained from the sufficient conditions above, that under some appropriate moment conditions on $Thet{a}_t,tgeq1$, $xinf=su{m}_{t=1}^{infty}Thet{a}_t{X}_t$ converges with probability 1 and has regularly varying tail of index $-alpha$. Motivated by the converse problems in Jacobsen et al. (2009) we ask the question that, if $xinf$ has regularly varying tail, then does $X_1$ have regularly varying tail under some appropriate conditions? We obtain appropriate sufficient moment conditions, including nonvanishing Mellin transform of $su{m}_{t=1}^{i}nftyThet{a}_t$ along some vertical line in the complex plane, so that the above is true. We also show that the condition on the Mellin transform cannot be dropped.

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Cited in

(20)

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• Randomly weighted sums of subexponential random variables with application to capital allocation
• Asymptotics for randomly weighted and stopped dependent sums
• A Kesten-type bound for sums of randomly weighted subexponential random variables
• On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
• Second-order properties of tail probabilities of sums and randomly weighted sums
• Ruin probabilities under Sarmanov dependence structure
• Externalities in the M/G/1 queue: LCFS-PR versus FCFS
• Tail behavior of discounted portfolio loss under upper tail comonotonicity
• APPROXIMATION OF THE TAIL PROBABILITIES FOR BIDIMENSIONAL RANDOMLY WEIGHTED SUMS WITH DEPENDENT COMPONENTS
• Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory
• A quasi-Bayesian change point detection with exchangeable weights
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• A note on randomly weighted sums of dependent subexponential random variables
• Randomly weighted sums of dependent subexponential random variables with applications to risk theory
• Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima
• Conditional tail expectation of randomly weighted sums with heavy-tailed distributions
• The tail behavior of randomly weighted sums of dependent random variables
• Exact upper tail probabilities of random series

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