Closure property and maximum of randomly weighted sums with heavy-tailed increments

Yang Yang, Remigijus Leipus and Jonas Šiaulys

Statistics & Probability Letters, 2014, vol. 91, issue C, 162-170

Abstract: In this paper, we consider the randomly weighted sum S2Θ=Θ1X1+Θ2X2, where the two primary random summands X1 and X2 are real-valued and dependent with long or dominatedly varying tails, and the random weights Θ1 and Θ2 are positive, with values in [a,b], 0Keywords: Randomly weighted sum; Long tail; Dominatedly varying tail; Dependence (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spl.2014.04.020

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