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Closure property and maximum of randomly weighted sums with heavy-tailed increments
Institution:1. School of Mathematics and Statistics, Nanjing Audit University, Nanjing, 210029, China;2. School of Economics and Management, Southeast University, Nanjing, 210096, China;3. Faculty of Mathematics and Informatics, Vilnius University, Naugarduko 24, Vilnius LT-03225, Lithuania;4. Institute of Mathematics and Informatics, Vilnius University, Akademijos 4, Vilnius LT-08663, Lithuania;1. Clausthal University of Technology, Department of Applied Stochastics and Operations Research, 38678 Clausthal-Zellerfeld, Germany;2. University of Derby, School of Computing and Mathematics, Derby, DE22 1GB, UK;1. Université de Rouen, LITIS EA 4108, Avenue de l’Université, BP 12, 76801 Saint-Étienne-du-Rouvray, France;2. Rutgers University, Department of Statistics, 561 Hill Center, Busch Campus, Piscataway, NJ 08854-8019, USA
Abstract:
Keywords:Randomly weighted sum  Long tail  Dominatedly varying tail  Dependence
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