On the convolution equivalence of tempered stable distributions on the real line

被引：0

作者：

Torricelli, Lorenzo ^{[1
]}

机构：

[1] Univ Bologna, Dept Stat Sci P Fortunati, Via Belle Arti 41, I-40126 Bologna, Italy

来源：

STATISTICS & PROBABILITY LETTERS | 2024年 / 207卷

关键词：

Tempered stable distributions; Convolution equivalence; Subexponentiality; Long tails; Heavy tails; CONVERGENCE;

D O I：

10.1016/j.spl.2024.110034

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：

We show the convolution equivalence property of univariate tempered stable distributions in the sense of Rosinski (2007). This makes rigorous various classic heuristic arguments on the asymptotic similarity between the probability and Levy densities of such distributions. Some specific examples from the literature are discussed.

引用

页数：6

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