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Article: Tail behavior of negatively associated heavy-tailed sums

TitleTail behavior of negatively associated heavy-tailed sums
Authors
KeywordsAsymptotics
Negative association
Partial sum
Subexponentiality
Tail probability
Issue Date2006
PublisherApplied 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, 2006, v. 43 n. 2, p. 587-593 How to Cite?
AbstractConsider a sequence {X k, k ≥ 1} of random variables on (-∞, ∞). Results on the asymptotic tail probabilities of the quantities S n = ∑ k=0 n X k, X (n) = max 0≤k≤n X k, and S (n) = max 0≤k≤n S k, with X 0 = 0 and n ≥ 1, are well known in the case where the random variables are independent with a heavy-tailed (subexponential) distribution. In this paper we investigate the validity of these results under more general assumptions. We consider extensions under the assumptions of having long-tailed distributions (the class L) and having the class D ∩ L, where D is the class of distribution functions with dominatedly varying tails. Some results are also given in the case where X k, k ≥ 1, are not necessarily identically distributed and/or independent. © Applied Probability Trust 2006.
Persistent Identifierhttp://hdl.handle.net/10722/83054
ISSN
2015 Impact Factor: 0.665
2015 SCImago Journal Rankings: 0.742
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorGeluk, Jen_HK
dc.contributor.authorNg, KWen_HK
dc.date.accessioned2010-09-06T08:36:23Z-
dc.date.available2010-09-06T08:36:23Z-
dc.date.issued2006en_HK
dc.identifier.citationJournal Of Applied Probability, 2006, v. 43 n. 2, p. 587-593en_HK
dc.identifier.issn0021-9002en_HK
dc.identifier.urihttp://hdl.handle.net/10722/83054-
dc.description.abstractConsider a sequence {X k, k ≥ 1} of random variables on (-∞, ∞). Results on the asymptotic tail probabilities of the quantities S n = ∑ k=0 n X k, X (n) = max 0≤k≤n X k, and S (n) = max 0≤k≤n S k, with X 0 = 0 and n ≥ 1, are well known in the case where the random variables are independent with a heavy-tailed (subexponential) distribution. In this paper we investigate the validity of these results under more general assumptions. We consider extensions under the assumptions of having long-tailed distributions (the class L) and having the class D ∩ L, where D is the class of distribution functions with dominatedly varying tails. Some results are also given in the case where X k, k ≥ 1, are not necessarily identically distributed and/or independent. © Applied Probability Trust 2006.en_HK
dc.languageengen_HK
dc.publisherApplied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.htmlen_HK
dc.relation.ispartofJournal of Applied Probabilityen_HK
dc.subjectAsymptoticsen_HK
dc.subjectNegative associationen_HK
dc.subjectPartial sumen_HK
dc.subjectSubexponentialityen_HK
dc.subjectTail probabilityen_HK
dc.titleTail behavior of negatively associated heavy-tailed sumsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0021-9002&volume=43&issue=2&spage=587&epage=593&date=2006&atitle=Tail+behavior+of+negatively+associated+heavy-tailed+sumsen_HK
dc.identifier.emailNg, KW: kaing@hkucc.hku.hken_HK
dc.identifier.authorityNg, KW=rp00765en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1239/jap/1152413743en_HK
dc.identifier.scopuseid_2-s2.0-33845292215en_HK
dc.identifier.hkuros138156en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-33845292215&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume43en_HK
dc.identifier.issue2en_HK
dc.identifier.spage587en_HK
dc.identifier.epage593en_HK
dc.identifier.isiWOS:000238926100020-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridGeluk, J=6602584350en_HK
dc.identifier.scopusauthoridNg, KW=7403178774en_HK

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