The tail probability of the product of dependent random variables from max-domains of attraction

Yingying Yang, Shuhe Hu and Tao Wu

Statistics & Probability Letters, 2011, vol. 81, issue 12, 1876-1882

Abstract: In this article, we investigate the tail probability of the product of finitely many non-negative dependent random variables. They follow distributions from max-domains of attraction of extreme value distributions and their dependence is modeled via a multivariate Farlie–Gumbel–Morgenstern distribution. For each of the Fréchet, Gumbel and Weibull cases, we obtain an explicit asymptotic formula for the tail probability of the product. Our study extends a few known results in the literature.

Keywords: Breiman’s theorem; Farlie–Gumbel–Morgenstern; Max-domain of attraction; Product; Tail probability (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:81:y:2011:i:12:p:1876-1882

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DOI: 10.1016/j.spl.2011.06.018

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