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Article: Asymptotic behavior of tail and local probabilities for sums of subexponential random variables
Title | Asymptotic behavior of tail and local probabilities for sums of subexponential random variables |
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Authors | |
Keywords | Asymptotics Local probability Partial sum Subexponentiality Tail probability |
Issue Date | 2004 |
Publisher | Applied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.html |
Citation | Journal Of Applied Probability, 2004, v. 41 n. 1, p. 108-116 How to Cite? |
Abstract | Let {Xk, k ≥ 1} be a sequence of independently and identically distributed random variables with common subexponential distribution function concentrated on (-∞, ∞), and let τ 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≤n Xk, Sn = ∑n k=0 Xk and S(n) = max0≤k≤n Sk for n ≥ 1, and their randomized versions X(τ), Sτ and S(τ), where X0 = 0 by convention and h > 0 is arbitrarily fixed. |
Persistent Identifier | http://hdl.handle.net/10722/82953 |
ISSN | 2023 Impact Factor: 0.7 2023 SCImago Journal Rankings: 0.551 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
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dc.contributor.author | Ng, KW | en_HK |
dc.contributor.author | Tang, Q | en_HK |
dc.date.accessioned | 2010-09-06T08:35:17Z | - |
dc.date.available | 2010-09-06T08:35:17Z | - |
dc.date.issued | 2004 | en_HK |
dc.identifier.citation | Journal Of Applied Probability, 2004, v. 41 n. 1, p. 108-116 | en_HK |
dc.identifier.issn | 0021-9002 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/82953 | - |
dc.description.abstract | Let {Xk, k ≥ 1} be a sequence of independently and identically distributed random variables with common subexponential distribution function concentrated on (-∞, ∞), and let τ 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≤n Xk, Sn = ∑n k=0 Xk and S(n) = max0≤k≤n Sk for n ≥ 1, and their randomized versions X(τ), Sτ and S(τ), where X0 = 0 by convention and h > 0 is arbitrarily fixed. | en_HK |
dc.language | eng | en_HK |
dc.publisher | Applied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.html | en_HK |
dc.relation.ispartof | Journal of Applied Probability | en_HK |
dc.subject | Asymptotics | en_HK |
dc.subject | Local probability | en_HK |
dc.subject | Partial sum | en_HK |
dc.subject | Subexponentiality | en_HK |
dc.subject | Tail probability | en_HK |
dc.title | Asymptotic behavior of tail and local probabilities for sums of subexponential random variables | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0021-9002&volume=41&issue=1&spage=108&epage=116&date=2004&atitle=Asymptotic+behavior+of+tail+and+local+probabilities+for+sums+of+subexponential+random+variables | en_HK |
dc.identifier.email | Ng, KW: kaing@hkucc.hku.hk | en_HK |
dc.identifier.authority | Ng, KW=rp00765 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1239/jap/1077134671 | en_HK |
dc.identifier.scopus | eid_2-s2.0-2442454865 | en_HK |
dc.identifier.hkuros | 85657 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-2442454865&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 41 | en_HK |
dc.identifier.issue | 1 | en_HK |
dc.identifier.spage | 108 | en_HK |
dc.identifier.epage | 116 | en_HK |
dc.identifier.isi | WOS:000220186000008 | - |
dc.publisher.place | United Kingdom | en_HK |
dc.identifier.scopusauthorid | Ng, KW=7403178774 | en_HK |
dc.identifier.scopusauthorid | Tang, Q=7201632128 | en_HK |
dc.identifier.issnl | 0021-9002 | - |