Sums of dependent nonnegative random variables with subexponential tails

被引：69

作者：

Ko, Bangwon ^{[1
]}

Tang, Qihe ^{[1
]}

机构：

[1] Univ Iowa, Dept Stat & Actuarial Sci, Iowa City, IA 52242 USA

来源：

JOURNAL OF APPLIED PROBABILITY | 2008年 / 45卷 / 01期

关键词：

asymptotics; copula; dependence; subexponentiality; uniformity;

D O I：

10.1239/jap/1208358953

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：

In this paper we study the asymptotic tail probabilities of sums of subexponential, nonnegative random variables, which are dependent according to certain general structures with tail independence. The results show that the subexponentiality of the summands eliminates the impact of the dependence on the tail behavior of the sums.

引用

页码：85 / 94

页数：10

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