Renewal theory for random variables with a heavy tailed distribution and finite variance

J.L. Geluk and J.B.G. Frenk

Statistics & Probability Letters, 2011, vol. 81, issue 1, 77-82

Abstract: Let X1,X2,...Xn be independent and identically distributed (i.i.d.) non-negative random variables with a common distribution function (d.f.) F with unbounded support and . We show that for a large class of heavy tailed random variables with a finite variance the renewal function U satisfies as x-->[infinity].

Keywords: Renewal; function; Subexponentiality; Integrated; tail; Dominated; variation (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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