Randomly weighted sums and their maxima with heavy-tailed increments and dependence structure

DOI10.1080/03610926.2016.1248785MaRDI QIDQ4595873zbMATH OpenOpenAlexFDO

Authors Yiyu Hu, Jijiao He, Shijie Wang, Xuejun Wang

Publication date 6 December 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2016.1248785

zbMATH Keywords

asymptoticssubexponential distributiondependence structuredominated variationrandomly weighted sums

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50)

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Cited in

(18)

• On the tail behavior for randomly weighted sums of dependent random variables with its applications to risk measures
• Weak max-sum equivalence for dependent heavy-tailed random variables
• Conditional tail expectation of randomly weighted sums with heavy-tailed distributions
• Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables
• Generalized moments of sums with heavy-tailed random summands
• The local max-sum equivalence of real valued random walks with heavy-tailed increments following FGM copula
• scientific article; zbMATH DE number 6288723 (Why is no real title available?)
• Maxima of sums and random sums for negatively associated random variables with heavy tails
• Weighted sums of subexponential random variables and their maxima
• A note on the tail behavior of randomly weighted and stopped dependent sums
• A note on the asymptotics for the randomly stopped weighted sums
• Approximation of the tail probabilities of randomly weighted sums in presence of dependence and heavy tails
• Randomly weighted sums under a wide type of dependence structure with application to conditional tail expectation
• Approximation of the tail probability of randomly weighted sums and applications
• Closure property and maximum of randomly weighted sums with heavy-tailed increments
• Randomly weighted sums of linearly wide quadrant-dependent random variables with heavy tails
• On the maximum of randomly weighted sums with regularly varying tails
• Randomly weighted sums of dependent random variables with dominated variation

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