A note on the tail behavior of randomly weighted and stopped dependent sums
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Articles
Lina Dindienė
Vilnius University
Remigijus Leipus
Vilnius University
Published 2015-04-20
https://doi.org/10.15388/NA.2015.2.8
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Keywords

heavy tails
extended negative dependence
asymptotic tail probability

How to Cite

Dindienė, L. and Leipus, R. (2015) “A note on the tail behavior of randomly weighted and stopped dependent sums”, Nonlinear Analysis: Modelling and Control, 20(2), pp. 263–273. doi:10.15388/NA.2015.2.8.

Abstract

In this paper, we deal with the tail behavior of the maximum of randomly weighted and stopped sums. We assume that primary random variables (with a certain dependence structure) are identically distributed with heavy-tailed distribution function and random weights are nonnegative. In this note, we specify some conditions for the (weak) asymptotics of the tail of random maximum.

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