A note on the asymptotics for the randomly stopped weighted sums
Let {Xi , i ⩾ 1} be a sequence of identically distributed real-valued random variables with common distribution FX; let {θi , i ⩾ 1} be a sequence of identically distributed, nonnegative and nondegenerate at zero random variables; and let τ be a positive integer-valued counting random variable. Ass...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius University Press
2018-04-01
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| Series: | Nonlinear Analysis |
| Subjects: | |
| Online Access: | http://www.zurnalai.vu.lt/nonlinear-analysis/article/view/13320 |
| Summary: | Let {Xi , i ⩾ 1} be a sequence of identically distributed real-valued random variables with common distribution FX; let {θi , i ⩾ 1} be a sequence of identically distributed, nonnegative and nondegenerate at zero random variables; and let τ be a positive integer-valued counting random variable. Assume that {Xi , i ⩾ 1}, {θi , i ⩾ 1} and τ are mutually independent. In the presence of heavy-tailed Xi's, this paper investigates the asymptotic tail behavior for the maximum of randomly weighted sums Mτ = max1 ⩽ k ⩽ τ ∑ki = 1θi Xi under the condition that {θi , i ⩾ 1} satisfy a general dependence structure.
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| ISSN: | 1392-5113 2335-8963 |