Some properties of subexponential distributions

DOI10.1007/BF02356073MaRDI QIDQ1277430zbMATH OpenOpenAlexFDO

Authors A. L. Yakymiv

Publication date 27 April 1999

Published in Mathematical Notes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02356073

zbMATH Keywords

convolutionextremessubexponential distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

Review text

Recall that a distribution is called subexponential if the decay of the survival function of the convolution product has twice the size as the original survival function as \(t\to\infty\). The class of subexponential distributions \(S\) is studied under the operations \(\max(X,Y)\) and \(\min(X,Y)\), where \(X\) and \(Y\) are independent random variables with distribution in \(S\). It is shown that \(\max(X,Y)\) is in \(S\) if and only if \(X+Y\) belongs to \(S\). The case is more complicated for \(\min(X,Y)\).

Recommendations

• Some closure properties for subexponential distributions
• On the subexponential property of a class of random variables
• Sufficient conditions for the subexponential property of the convolution of two distributions
• On sufficient conditions for subexponentiality

Cites work

• Degeneracy properties of subcritical branching processes
• scientific article; zbMATH DE number 4153565 (Why is no real title available?)
• scientific article; zbMATH DE number 4030594 (Why is no real title available?)
• scientific article; zbMATH DE number 3662269 (Why is no real title available?)
• scientific article; zbMATH DE number 3322619 (Why is no real title available?)
• On the non-closure under convolution of the subexponential family
• Subexponential distributions and dominated-variation tails
• Subexponential distributions and integrated tails
• Sufficient conditions for the subexponential property of the convolution of two distributions
• The class of subexponential distributions

Cited in

(20)

• Some closure properties for subexponential distributions
• The structure of the class of subexponential distributions
• Multivariate subexponential distributions
• Sufficient conditions for the subexponential property of the convolution of two distributions
• On a closure property of convolution equivalent class of distributions
• On the constant in the definition of subexponential distributions
• The subexponential product convolution of two Weibull-type distributions
• Minimum of dependent random variables with convolution-equivalent distributions
• scientific article; zbMATH DE number 6001162 (Why is no real title available?)
• On a property of subexponential distributions and related classes
• scientific article; zbMATH DE number 3965077 (Why is no real title available?)
• scientific article; zbMATH DE number 4078359 (Why is no real title available?)
• New examples of heavy-tailed O-subexponential distributions and related closure properties
• The subexponentiality for two widely dependent random variables under the operations of minimum and maximum
• scientific article; zbMATH DE number 1899875 (Why is no real title available?)
• A note on product-convolution for generalized subexponential distributions
• On the intersection of max domains of attraction of \(p\)-max stable laws and the class of subexponential distributions
• Exact asymptotic behaviour of the distribution of the supremum
• On the subexponential property of a class of random variables
• A new class of large claim size distributions: definition, properties, and ruin theory

This page was built for publication: Some properties of subexponential distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1277430)