Limiting behaviour of constrained sums of two variables and the principle of a single big jump

Jaakko Lehtomaa

Statistics & Probability Letters, 2015, vol. 107, issue C, 157-163

Abstract: This note studies the asymptotic properties of the variable Zd:=X1d|{X1+X2=d}, as d→∞. Here X1 and X2 are non-negative i.i.d. variables with a common twice differentiable density function f. General results concerning the distributional limits of Zd are discussed with various examples.

Keywords: Principle of a single big jump; Log-convex; Increasing failure rate; Heavy-tailed (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2015.08.017

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