Approximation of the tail probabilities of randomly weighted sums in presence of dependence and heavy tails

DOI10.3969/J.ISSN.1001-4268.2016.02.001zbMATH Open1363.62013MaRDI QIDQ3180010FDOQ3180010

Fengqin Tang, Jianming Bai

Publication date: 6 January 2017

Recommendations

• Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
• Approximation of the tail probability of randomly weighted sums and applications
• Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables
• Randomly weighted sums and their maxima with heavy-tailed increments and dependence structure
• Randomly weighted sums of dependent random variables with dominated variation

zbMATH Keywords

heavy-tailed distributionpositively associatedrandomly weighted sumspairwise generalized negatively orthant dependent

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Cited In (8)

• Efficient simulation of tail probabilities of sums of dependent random variables
• The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables
• Asymptotic behaviour of the probability-weighted moments and penultimate approximation
• 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
• Approximations to weighted sums of random variables
• Weighted sums for i. i. d. random variables with relatively thin tails
• The tail behavior of randomly weighted sums of dependent random variables

This page was built for publication: Approximation of the tail probabilities of randomly weighted sums in presence of dependence and heavy tails

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3180010)