Tail probability of randomly weighted sums of subexponential random variables under a dependence structure

Yang Yang, Remigijus Leipus and Jonas Šiaulys

Statistics & Probability Letters, 2012, vol. 82, issue 9, 1727-1736

Abstract: This paper deals with the asymptotic behavior for the tail probability of randomly weighted sums of subexponential random variables under a dependence structure, where the random weights and the corresponding summands are dependent.

Keywords: Subexponential distribution; Random weights; Tail probability (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (9)

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DOI: 10.1016/j.spl.2012.05.016

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