A note on max-sum equivalence

Jinzhu Li and Qihe Tang

Statistics & Probability Letters, 2010, vol. 80, issue 23-24, 1720-1723

Abstract: For finitely many independent real-valued random variables, if their maximum follows a subexponential distribution, then the tail probabilities of their sum and maximum are asymptotically equivalent.

Keywords: Long; tail; Max-sum; equivalence; Subexponentiality (search for similar items in EconPapers)
Date: 2010
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