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Mathematics
Article . 2024 . Peer-reviewed
License: CC BY
Data sources: Crossref
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Mathematics
Article . 2024
Data sources: DOAJ
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Exact Results for the Distribution of Randomly Weighted Sums

Authors: Thomas Hitchen; Saralees Nadarajah;

Exact Results for the Distribution of Randomly Weighted Sums

Abstract

Dependent random variables play a crucial role in various fields, from finance and statistics to engineering and environmental sciences. Often, interest lies in understanding the aggregate sum of a collection of dependent variables with random weights. In this paper, we provide a comprehensive study of the distribution of the aggregate sum with random weights. Expressions derived include those for the cumulative distribution function, probability density function, conditional expectation, moment generating function, characteristic function, cumulant generating function, moments, variance, skewness, kurtosis, cumulants, value at risk and the expected shortfall. Real data applications are discussed.

Keywords

copulas, conditional expectation, probability density function, QA1-939, cumulative distribution function, Mathematics

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
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