Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima

Jianxi Lin

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 11, 2648-2670

Abstract: In this paper the second order asymptotics of the tail probabilities of randomly weighted sums and their maxima are established in the case that the underlying primary random variables are subexponential. No any assumption is made on the dependence structure between the random weights, but we assume these weights are bounded away from zero and infinity.

Date: 2020
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DOI: 10.1080/03610926.2019.1576900

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