Randomly stopped sums of not identically distributed heavy tailed random variables

Svetlana Danilenko and Jonas Šiaulys

Statistics & Probability Letters, 2016, vol. 113, issue C, 84-93

Abstract: Let {ξ1,ξ2,…} be a sequence of independent but not necessarily identically distributed non-negative random variables a number of which has distribution functions with dominatingly varying tails. Let η be a counting random variable independent of {ξ1,ξ2,…}. We consider conditions for random variables {ξ1,ξ2,…} and η under which distribution of the random sum ξ1+ξ2+⋯+ξη preserves dominatingly varying tail.

Keywords: Heavy tail; Dominatingly varying tail; Random sum; Closure property; Not identically distributed random variables (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2016.03.001

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