Convolution and convolution-root properties of long-tailed distributions

DOI10.1007/s10687-015-0224-2zbMath1327.60042arXiv1501.07458OpenAlexW1695623954MaRDI QIDQ897839

Hui Xu, Yue-bao Wang, Sergeĭ Georgievich Foss

Publication date: 8 December 2015

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.07458

zbMATH Keywords

convolutioninfinitely divisible distributionLévy measurelong-tailed distributionclosednessrandom sumconvolution rootgeneralised subexponential distribution

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Probability distributions: general theory (60E05) Large deviations (60F10)

Related Items (22)

Randomly stopped sums of not identically distributed heavy tailed random variables ⋮ On the long tail property of product convolution ⋮ Subexponential densities of infinitely divisible distributions on the half-line ⋮ A note on product-convolution for generalized subexponential distributions ⋮ On the closure under infinitely divisible distribution roots ⋮ Closure properties of \(O\)-exponential distributions ⋮ Unnamed Item ⋮ Randomly stopped sums with consistently varying distributions ⋮ Multicomponent stress-strength reliability based on a right long-tailed distribution ⋮ Closure property of consistently varying random variables based on precise large deviation principles ⋮ On the random max-closure for heavy-tailed random variables ⋮ On a closure property of convolution equivalent class of distributions ⋮ The Wiener condition and the conjectures of Embrechts and Goldie ⋮ The local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summands ⋮ Randomly stopped maximum and maximum of sums with consistently varying distributions ⋮ Ratio of the tail of an infinitely divisible distribution on the line to that of its Lévy measure ⋮ Two hypotheses on the exponential class in the class of \(O\)-subexponential infinitely divisible distributions ⋮ A necessary and sufficient condition for the subexponentiality of the product convolution ⋮ Randomly stopped sums with exponential-type distributions ⋮ Randomly stopped minima and maxima with exponential-type distributions ⋮ Some positive conclusions related to the Embrechts-Goldie conjecture ⋮ Embrechts-Goldie's problem on the class of lattice convolution equivalent distributions

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