SUBEXPONENTIALITY OF THE PRODUCT OF INDEPENDENT RANDOM-VARIABLES

被引：272

作者：

CLINE, DBH

SAMORODNITSKY, E

机构：

[1] CORNELL UNIV,SCH OR IE,ITHACA,NY 14853

[2] TEXAS A&M UNIV,DEPT STAT,COLL STN,TX 77843

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1994年 / 49卷 / 01期

关键词：

D O I：

10.1016/0304-4149(94)90113-9

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Suppose X and P are independent nonnegative random variables. We study the behavior of P(XY>t), as t-->infinity, when X has a subexponential distribution. Particular attention is given to obtaining sufficient conditions on P(Y>t) for XP to have a subexponential distribution. The relationship between P(X>t) and P(XY>t) is further studied for the special cases where the former satisfies one of the extensions of regular variation.

引用

页码：75 / 98

页数：24

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