Integrability of infinite weighted sums of heavy-tailed i.i.d.\ random variables.
type: Item
instance of: scholarly article
title: Integrability of infinite weighted sums of heavy-tailed i.i.d.\ random variables.
zbMATH Open document ID: 1059.60061
DOI: 10.1016/S0304-4149(02)00086-8
author: Martin P. W. Zerner
published in: Stochastic Processes and their Applications
publication date: 2005-02-25T00:00:00Z
review text: The paper considers weighted sums of i.i.d.\ real random variables. The sums are supposed to be a.s.\ absolutely summable and the author investigates their integrability. He presents integrability conditions of a summand which are sufficient and necessary for a prescribed integrability of the sum.
reviewed by: Petr Lachout
Mathematics Subject Classification ID: 60G50
Mathematics Subject Classification ID: 60G10
Mathematics Subject Classification ID: 60E10
zbMATH DE Number: 2138963
zbMATH Keywords: characteristic function
zbMATH Keywords: heavy-tailed distribution
zbMATH Keywords: integrability
zbMATH Keywords: linear process
zbMATH Keywords: stationary distribution
zbMATH Keywords: sum of independent random variables
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 2138963