Randomly stopped sums of not identically distributed heavy tailed random variables

DOI10.1016/J.SPL.2016.03.001MaRDI QIDQ274177zbMATHOpenAlexFDO

Authors Svetlana Danilenko, Jonas Šiaulys

Publication date 22 April 2016

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2016.03.001

zbMATH Keywords

closure propertydominatingly varying tailheavy tailnot identically distributed random variablesrandom sum

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20)

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• Convolution and convolution-root properties of long-tailed distributions
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• On convolution tails
• Subexponential distributions and integrated tails
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Cited in

(15)

• Properties of the random effect transformation
• Randomly stopped sums with exponential-type distributions
• On the random max-closure for heavy-tailed random variables
• Randomly stopped sums with consistently varying distributions
• Asymptotics of randomly stopped sums in the presence of heavy tails
• On the long tail property of product convolution
• A note on randomly stopped sums with zero mean increments
• Regularly distributed randomly stopped sum, minimum, and maximum
• On bivariate compound sums
• Lower Limits for Distribution Tails of Randomly Stopped Sums
• Randomly stopped maximum and maximum of sums with consistently varying distributions
• On compound sums under dependence
• Randomly stopped minima and maxima with exponential-type distributions
• Closure properties of \(O\)-exponential distributions
• Closure property of consistently varying random variables based on precise large deviation principles

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