The Product of Independent Random Variables with Regularly Varying Tails |
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Authors: | Takaaki Shimura |
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Institution: | (1) The Institute of Statistical Mathematics, 4-6-7 Minami-Azabu Minato-ku, Tokyo, 106-8569, Japan. e-mail |
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Abstract: | A distribution is said to have regularly varying tail with index – (0) if lim
x(kx,)/(x,)=k
– for each k>0. Let X and Y be independent positive random variables with distributions and , respecitvely. The distribution of product XY is called Mellin–Stieltjes convolution (MS convolution) of and . It is known that D() (the class of distributions on (0,) that have regularly varying tails with index –) is closed under MS convolution. This paper deals with decomposition problem of distributions in D() related to MS convolution. A representation of a regularly varying function F of the following form is investigated: F(x)=
k=0
n–1
b
k
f(a
k
x), where f is a measurable function and a and b
k
(k=1,...,n–1) are real constants. A criterion is given for these constants in order that f be regularly varying. This criterion is applicable to show that there exist two distributions and such that neither nor belongs to D() (>0) and their MS convolution belongs to D(). |
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Keywords: | tail of distribution regularly varying function slowly varying function product of independent random variables |
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