Some closure properties for subexponential distributions

Jaap Geluk

Statistics & Probability Letters, 2009, vol. 79, issue 8, 1108-1111

Abstract: Let X,Y be independent random variables with subexponential distributions. In this note we show that min(X,Y) has a subexponential distribution, but this is not necessarily true for max(X,Y). We also show that Xa has a subexponential distribution when a>1.

Date: 2009
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