Asymptotic Tail Probabilities of Sums of Dependent Subexponential Random Variables |
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Authors: | Jaap Geluk Qihe Tang |
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Institution: | 1. Department of Mathematics, The Petroleum Institute, P.O. Box 2533, Abu Dhabi, United Arab Emirates 2. Department of Statistics and Actuarial Science, The University of Iowa, 241 Schaeffer Hall, Iowa City, IA, 52242, USA
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Abstract: | In this paper we study the asymptotic behavior of the tail probabilities of sums of dependent and real-valued random variables
whose distributions are assumed to be subexponential and not necessarily of dominated variation. We propose two general dependence
assumptions under which the asymptotic behavior of the tail probabilities of the sums is the same as that in the independent
case. In particular, the two dependence assumptions are satisfied by multivariate Farlie-Gumbel-Morgenstern distributions. |
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Keywords: | |
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