Weak max-sum equivalence for dependent heavy-tailed random variables

DOI10.1007/S10986-016-9303-6zbMath1385.60026OpenAlexW2314111051MaRDI QIDQ282131

Remigijus Leipus, Lina Dindienė

Publication date: 12 May 2016

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-016-9303-6

zbMATH Keywords

copulaheavy tailsnegative dependencedominatedly varying tailsweak max-sum equivalence

Mathematics Subject Classification ID

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

Related Items (5)

Asymptotics for the partial sum and its maximum of dependent random variables ⋮ Asymptotic risk decomposition for regularly varying distributions with tail dependence ⋮ Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure ⋮ Expectation of the truncated randomly weighted sums with dominatedly varying summands ⋮ Bounds for the Clayton copula

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