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The tail probability of the product of dependent random variables from max-domains of attraction
Authors:Yingying Yang  Shuhe Hu  Tao Wu
Institution:aSchool of Mathematical Science, Anhui University, Hefei 230039, Anhui, China
Abstract:In this article, we investigate the tail probability of the product of finitely many non-negative dependent random variables. They follow distributions from max-domains of attraction of extreme value distributions and their dependence is modeled via a multivariate Farlie–Gumbel–Morgenstern distribution. For each of the Fréchet, Gumbel and Weibull cases, we obtain an explicit asymptotic formula for the tail probability of the product. Our study extends a few known results in the literature.
Keywords:MSC: primary  60E05  secondary  62H20  62E20
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