Tail behavior of randomly weighted sums

DOI10.1239/AAP/1346955265zbMATH Open1264.60036arXiv1011.4349OpenAlexW3105681764MaRDI QIDQ3167339FDOQ3167339

Authors: Rajat Subhra Hazra, Krishanu Maulik 

Publication date: 2 November 2012

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

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.

Full work available at URL: https://arxiv.org/abs/1011.4349

Recommendations

• On the maximum of randomly weighted sums with regularly varying tails
• Approximation of the tail probability of randomly weighted sums and applications
• A note on weighted infinite sums of dependent regularly varying tailed random variables
• On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
• Randomly weighted sums of dependent random variables with dominated variation

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)

Cites Work

• Statistics for near independence in multivariate extreme values
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Heavy-Tail Phenomena
• Subexponential distributions and characterizations of related classes
• Limit theory for bilinear processes with heavy-tailed noise
• An Introduction to Heavy-Tailed and Subexponential Distributions
• On Interchanging Limits and Integrals
• Subexponential distributions and integrated tails
• Regularly varying functions
• On a Theorem of Breiman and a Class of Random Difference Equations
• Subexponentiality of the product of independent random variables
• Tail probabilities for infinite series of regularly varying random vectors
• Moving averages with random coefficients and random coefficient autoregressive models
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• Approximation of the tail probability of randomly weighted sums and applications
• Weighted sums of subexponential random variables and their maxima
• Inverse problems for regular variation of linear filters, a cancellation property for \(\sigma\)-finite measures and identification of stable laws

Cited In (20)

• Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance
• Randomly weighted sums of dependent random variables with dominated variation
• Asymptotics for randomly weighted and stopped dependent sums
• Randomly weighted sums of subexponential random variables with application to capital allocation
• 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
• Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima
• Randomly weighted sums of dependent subexponential random variables with applications to risk theory
• A note on randomly weighted sums of dependent subexponential random variables
• Exact upper tail probabilities of random series
• Conditional tail expectation of randomly weighted sums with heavy-tailed distributions
• The tail behavior of randomly weighted sums of dependent random variables

This page was built for publication: Tail behavior of randomly weighted sums

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3167339)