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

descriptionPublicationkeyboard_double_arrow_right Article 01 Oct 2015 English Publisher:Elsevier BVJournal:Statistics & Probability Letters, volume 105, pages 20-28 (issn: 0167-7152,

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Authors: Yang, Yang; Ignatavičiūtė, Eglė; Šiaulys, Jonas;

doi: 10.1016/j.spl.2015.05.016

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

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Abstract

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Related Organizations

Southeast University
China (People's Republic of)
Vilnius University
Lithuania
Nanjing Audit University
China (People's Republic of)

Keywords

Large deviations, Asymptotic distribution theory in statistics, conditional tail expectation, randomly weighted sum, Probability distributions: general theory, heavy-tailed distribution, Sarmanov copula

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