Characterization of a general class of tail probability distributions

Meitner Cadena, Marie Kratz and Edward Omey

Statistics & Probability Letters, 2019, vol. 154, issue C, -

Abstract: Recently, new classes of positive and measurable functions, M(ρ) and M(±∞), have been defined in terms of their asymptotic behavior at infinity, when normalized by a logarithm (Cadena et al., 2016–17). Looking for other suitable normalizing functions than logarithm seems quite natural. It is what is addressed here, studying general classes of distribution functions of the type limx→∞logU(x)H(x)=ρ≤0 for normalizing functions H such that limx→∞H(x)=∞.

Keywords: Karamata functions; Laplace transform; Probability distribution; Regularly varying function; Semi-exponential tail distribution (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2019.108553

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