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

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7 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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title = "Lower limits for distribution tails of randomly stopped sums",

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 - Denisov, D. E.

AU - Korshunov, D. A.

AU - Foss, S. G.

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N2 - 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.

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.

KW - Convolution tail

KW - Heavy-tailed and light-tailed distributions

KW - Lower limit

KW - Random sums of random variables

UR - https://www.scopus.com/pages/publications/56749154784

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DO - 10.1137/S0040585X97983328

M3 - Article

SN - 0040-585X

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SP - 690

EP - 699

JO - Theory of Probability and its Applications

JF - Theory of Probability and its Applications

IS - 4

ER -

Lower limits for distribution tails of randomly stopped sums

Abstract

Keywords

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