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CLOSURE PROPERTY AND TAIL PROBABILITY ASYMPTOTICS FOR RANDOMLY WEIGHTED SUMS OF DEPENDENT RANDOM VARIABLES WITH HEAVY TAILS

Lina Dindiene|Remigijus Leipus|Jonas Siaulys
대한수학회 (The Korean Mathematical Society)|2017.11|대한수학회지 (Journal of the KMS)|제54권 제6호|pp. 1879-1903

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참고문헌

키워드

copularandomly weighted sumlong-tail distributionFGM copula
주제분류수학

초록

In this paper we study the closure property and probability tail asymptotics for randomly weighted sums $S_n^\Theta=\Theta_1 X_1 + \dots+\Theta_n X_n$ for long-tailed random variables $X_1,\dots,X_n$ and positive bounded random weights $\Theta_1,\dots,\Theta_n$ under similar dependence structure as in \cite{Yang_Leipus_Siaulys:2014}. In particular, we study the case where the distribution of random vector $(X_1,\dots,X_n)$ is generated by an absolutely continuous copula.

Abstract

In this paper we study the closure property and probability tail asymptotics for randomly weighted sums $S_n^\Theta=\Theta_1 X_1 + \dots+\Theta_n X_n$ for long-tailed random variables $X_1,\dots,X_n$ and positive bounded random weights $\Theta_1,\dots,\Theta_n$ under similar dependence structure as in \cite{Yang_Leipus_Siaulys:2014}. In particular, we study the case where the distribution of random vector $(X_1,\dots,X_n)$ is generated by an absolutely continuous copula.

참고문헌 (28)

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