SUBEXPONENTIALITY OF THE PRODUCT OF INDEPENDENT RANDOM-VARIABLES

被引：265

作者：

CLINE, DBH

SAMORODNITSKY, E

机构：

[1] CORNELL UNIV,SCH OR IE,ITHACA,NY 14853

[2] TEXAS A&M UNIV,DEPT STAT,COLL STN,TX 77843

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1994年 / 49卷 / 01期

关键词：

D O I：

10.1016/0304-4149(94)90113-9

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Suppose X and P are independent nonnegative random variables. We study the behavior of P(XY>t), as t-->infinity, when X has a subexponential distribution. Particular attention is given to obtaining sufficient conditions on P(Y>t) for XP to have a subexponential distribution. The relationship between P(X>t) and P(XY>t) is further studied for the special cases where the former satisfies one of the extensions of regular variation.

引用

页码：75 / 98

页数：24

共 50 条

[1] ON THE CONVERGENCE OF THE PRODUCT OF INDEPENDENT RANDOM-VARIABLES
SATO, H
[J]. JOURNAL OF MATHEMATICS OF KYOTO UNIVERSITY, 1987, 27 (02): : 381 - 385
[2] PRODUCT OF 2 INDEPENDENT BETA RANDOM-VARIABLES
CHANDRAN, BR
[J]. ANNALS OF MATHEMATICAL STATISTICS, 1962, 33 (03): : 1212 - &
[3] Subexponentiality of the product of dependent random variables
Yang, Haizhong
Sun, Suting
[J]. STATISTICS & PROBABILITY LETTERS, 2013, 83 (09) : 2039 - 2044
[4] ON THE DISTRIBUTION OF THE PRODUCT OF INDEPENDENT BETA RANDOM-VARIABLES
TANG, J
GUPTA, AK
[J]. STATISTICS & PROBABILITY LETTERS, 1984, 2 (03) : 165 - 168
[5] ON RANDOM-VARIABLES STIPULATED BY SUMS OF INDEPENDENT RANDOM-VARIABLES
GNEDENKO, BV
KUDLAEV, EM
[J]. VESTNIK MOSKOVSKOGO UNIVERSITETA SERIYA 1 MATEMATIKA MEKHANIKA, 1995, (05): : 23 - 31
[6] INDEPENDENT RANDOM-VARIABLES
WSCHEBOR, M
[J]. COMPTES RENDUS HEBDOMADAIRES DES SEANCES DE L ACADEMIE DES SCIENCES SERIE A, 1975, 280 (12): : 809 - 812
[7] SEQUENCES OF INDEPENDENT RANDOM-VARIABLES
CLARKE, LE
[J]. AMERICAN MATHEMATICAL MONTHLY, 1980, 87 (01): : 66 - 67
[8] PAIRWISE INDEPENDENT RANDOM-VARIABLES
OBRIEN, GL
[J]. ANNALS OF PROBABILITY, 1980, 8 (01): : 170 - 175
[9] MAXIMUM OF INDEPENDENT RANDOM-VARIABLES
ROBERTSON, T
[J]. AMERICAN MATHEMATICAL MONTHLY, 1975, 82 (05): : 527 - 528
[10] ON THE PRODUCT OF SYMMETRIC RANDOM-VARIABLES
HAMEDANI, GG
WALTER, GG
[J]. STATISTICS & PROBABILITY LETTERS, 1985, 3 (05) : 251 - 253

← 1 2 3 4 5 →