Conditional tail expectation of randomly weighted sums with heavy-tailed distributions

DOI10.1016/j.spl.2015.05.016zbMath1328.60040OpenAlexW633194157MaRDI QIDQ894569

Jonas Šiaulys, Eglė Ignatavičiūtė, Yang Yang

Publication date: 1 December 2015

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

Full work available at URL: https://doi.org/10.1016/j.spl.2015.05.016

zbMATH Keywords

heavy-tailed distributionconditional tail expectationrandomly weighted sumSarmanov copula

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Probability distributions: general theory (60E05) Large deviations (60F10)

Related Items (6)

Randomly weighted sums under a wide type of dependence structure with application to conditional tail expectation ⋮ Predicting the Tail Behavior of Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) Closing Banking Indices: Extreme Value Theory Approach ⋮ Tail conditional moments for elliptical and log-elliptical distributions ⋮ Asymptotic risk decomposition for regularly varying distributions with tail dependence ⋮ Complete moment convergence of double-indexed randomly weighted sums of mixing sequences ⋮ Expectation of the truncated randomly weighted sums with dominatedly varying summands

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