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faculty: "FEB" and publication year: "2004"
| Authors | K.W. Ng, Q. Tang | | Title | Asymptotic behavior of tail and local probablities for sums of subexponential random variables |
| Journal | Journal of Applied Probability |
| Volume | 41 |
| Year | 2004 |
| Issue | 1 |
| Pages | 108-116 |
| ISSN | 00219002 |
| Faculty | Faculty of Economics and Business |
| Institute/dept. | FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM) |
| Abstract | Let {Xk, k ? 1} be a sequence of independently and identically distributed random variables with common subexponential distribution function concentrated on (-?,?), and let ? be a nonnegative and integer-valued random variable with a finite mean and which is independent of the sequence {Xk, k ? 1}. This paper investigates asymptotic behavior of the tail probabilities P(? > x) and the local probabilities P(x < ? ? x + h) of the quantities X(n) = max0?k?nXk, Sn = ?k=0nXk and S(n) = max0?k?nSk for n ? 1, and their randomized versions X(?), S? and S(?), where X0 = 0 by convention and h > 0 is arbitrarily fixed. |
| Document type | Article |
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