Asymptotic formulas for the left truncated moments of sums with consistently varying distributed increments
In this paper, we consider the sum Snξ = ξ1 + ... + ξn of possibly dependent and nonidentically distributed real-valued random variables ξ1, ... , ξn with consistently varying distributions. By assuming that collection {ξ1, ... , ξn} follows the dependence structure, similar to the asymptotic indep...
Guardado en:
| Autores principales: | , |
|---|---|
| Formato: | article |
| Lenguaje: | EN |
| Publicado: |
Vilnius University Press
2021
|
| Materias: | |
| Acceso en línea: | https://doaj.org/article/65c62853d32c419884bd494bca83ca7c |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| Sumario: | In this paper, we consider the sum Snξ = ξ1 + ... + ξn of possibly dependent and nonidentically distributed real-valued random variables ξ1, ... , ξn with consistently varying distributions. By assuming that collection {ξ1, ... , ξn} follows the dependence structure, similar to the asymptotic independence, we obtain the asymptotic relations for E((Snξ)α1(Snξ > x)) and E((Snξ – x)+)α, where α is an arbitrary nonnegative real number. The obtained results have applications in various fields of applied probability, including risk theory and random walks.
|
|---|