Tail behavior of sums and maxima of sums of dependent subexponential random variables

DOI10.1007/s10440-011-9610-1zbMath1213.62085OpenAlexW2064102266MaRDI QIDQ538392

Remigijus Leipus, Jonas Šiaulys, Yang Yang, Kai Yong Wang

Publication date: 25 May 2011

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-011-9610-1

zbMATH Keywords

convolutiondependencesubexponentialityasymptotic tail probability

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistics of extreme values; tail inference (62G32)

Related Items (2)

Max-sum equivalence of conditionally dependent random variables ⋮ A note on the tail behavior of randomly weighted and stopped dependent sums

Cites Work

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• On the non-closure under convolution of the subexponential family
• Subexponentiality and infinite divisibility
• On the difference between the distribution function of the sum and the maximum of real random variables
• Sums of Dependent Nonnegative Random Variables with Subexponential Tails

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