Lower limits for distribution tails of randomly stopped sums

D. E. Denisov; D. A. Korshunov; S. G. Foss

doi:10.1137/S0040585X97983328

Lower limits for distribution tails of randomly stopped sums

D. E. Denisov, D. A. Korshunov, S. G. Foss

Research output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

Abstract

We study lower limits for the ratio F*t¯(x)/ F¯(x) of tail distributions, where F*t is a distribution of a sum of a random size t of independent identically distributed random variables having a common distribution F, and a random variable t does not depend on the summands. © 2008 Society for Industrial and Applied Mathematics.

Original language	English
Pages (from-to)	690-699
Number of pages	10
Journal	Theory of Probability and its Applications
Volume	52
Issue number	4
DOIs	https://doi.org/10.1137/S0040585X97983328
Publication status	Published - 2008

Keywords

Convolution tail
Heavy-tailed and light-tailed distributions
Lower limit
Random sums of random variables

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10.1137/S0040585X97983328

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abstract = "We study lower limits for the ratio F*t¯(x)/ F¯(x) of tail distributions, where F*t is a distribution of a sum of a random size t of independent identically distributed random variables having a common distribution F, and a random variable t does not depend on the summands. {\textcopyright} 2008 Society for Industrial and Applied Mathematics.",

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AU - Korshunov, D. A.

AU - Foss, S. G.

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AB - We study lower limits for the ratio F*t¯(x)/ F¯(x) of tail distributions, where F*t is a distribution of a sum of a random size t of independent identically distributed random variables having a common distribution F, and a random variable t does not depend on the summands. © 2008 Society for Industrial and Applied Mathematics.

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KW - Heavy-tailed and light-tailed distributions

KW - Lower limit

KW - Random sums of random variables

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JO - Theory of Probability and its Applications

JF - Theory of Probability and its Applications

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Lower limits for distribution tails of randomly stopped sums

Abstract

Keywords

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