Randomly stopped sums with consistently varying distributions

DOI10.15559/16-VMSTA60MaRDI QIDQ340828zbMATHOpenAlexFDO

Authors Edita Kizinevič, Jonas Sprindys, 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/1607.03619

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)

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.

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Cited in

(9)

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

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