A note on the tail behavior of randomly weighted and stopped dependent sums

descriptionPublicationkeyboard_double_arrow_right Article 20 Apr 2015Publisher:Vilnius University PressJournal:Nonlinear Analysis: Modelling and Control, volume 20, pages 263-273 (issn: 1392-5113, eissn: 2335-8963,

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Authors: Lina Dindienė; Remigijus Leipus;

doi: 10.15388/na.2015.2.8

A note on the tail behavior of randomly weighted and stopped dependent sums

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Abstract

In this paper, we deal with the tail behavior of the maximum of randomly weighted and stopped sums. We assume that primary random variables (with a certain dependence structure) are identically distributed with heavy-tailed distribution function and random weights are nonnegative. In this note, we specify some conditions for the (weak) asymptotics of the tail of random maximum.

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Vilnius University
Lithuania

Keywords

QA299.6-433, Large deviations, Stochastic processes, asymptotic tail probability, extended negative dependence, Analysis, heavy tails

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