Random convolution of inhomogeneous distributions with O -exponential tail

DOI10.15559/16-VMSTA52MaRDI QIDQ340814zbMATH OpenFDO

Authors Svetlana Danilenko, Simona Paškauskaitė, Jonas Šiaulys

Publication date 15 November 2016

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1604.01620

zbMATH Keywords

\(\mathcal{O} \)-exponential tailclosure propertyexponential tailheavy tailinhomogeneous distributionsrandom convolutionrandom sum

Mathematics Subject Classification ID

Convolution as an integral transform (44A35) Probability distributions: general theory (60E05) Sums of independent random variables; random walks (60G50) Characterization and structure theory of statistical distributions (62E10)

Abstract: Let $x{i}_1,x{i}_2,ldots$ be a sequence of independent random variables (not necessarily identically distributed), and $eta$ be a counting random variable independent of this sequence. We obtain sufficient conditions on $x{i}_1,x{i}_2,ldots$ and $eta$ under which the distribution function of the random sum $S_{eta}=x{i}_1+x{i}_2+cdots+x{i}_{eta}$ belongs to the class of $mathcalO$-exponential distributions.

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Cited in

(9)

• Closure properties of \(O\)-exponential distributions
• Scaling of spectra of a class of random convolution on \(\mathbb{R}\)
• Randomly stopped sums with consistently varying distributions
• scientific article; zbMATH DE number 4030594 (Why is no real title available?)
• Random convolution of \(\mathcal{O}\)-exponential distributions
• Randomly stopped sums with exponential-type distributions
• Closure property of consistently varying random variables based on precise large deviation principles
• Randomly stopped maximum and maximum of sums with consistently varying distributions
• Randomly stopped minima and maxima with exponential-type distributions

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