Randomly stopped sums with consistently varying distributions

DOI10.15559/16-VMSTA60zbMATH Open1349.60083arXiv1607.03619OpenAlexW2472143408MaRDI QIDQ340828FDOQ340828

Authors: Edita Kizinevič, Jonas Sprindys, Jonas Šiaulys 

Publication date: 15 November 2016

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

Abstract: Let $x{i}_1,x{i}_2,ldots$ be a sequence of independent random variables, and $eta$ be a counting random variable independent of this sequence. We consider conditions for $x{i}_1,x{i}_2,ldots$ 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 consistently varying distributions. In our consideration, the random variables $x{i}_1,x{i}_2,ldots$ are not necessarily identically distributed.

Full work available at URL: https://arxiv.org/abs/1607.03619

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zbMATH Keywords

heavy tailconsistently varying tailconvolution closureinhomogeneous distributionsrandom convolution closurerandomly stopped sum

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Convolution as an integral transform (44A35) Limit theorems in probability theory (60F99)

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Cited In (9)

• Randomly stopped sums of not identically distributed heavy tailed random variables
• Asymptotic formulas for the left truncated moments of sums with consistently varying distributed increments
• Regularly distributed randomly stopped sum, minimum, and maximum
• Closure property of consistently varying random variables based on precise large deviation principles
• Higher Moments of Randomly Stopped Sums
• A note on randomly stopped sums with zero mean increments
• Randomly stopped sums with exponential-type distributions
• Randomly stopped minima and maxima with exponential-type distributions
• Randomly stopped maximum and maximum of sums with consistently varying distributions

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