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The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables

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  • Zhu, Chun-hua
  • Gao, Qi-bing

Abstract

Let {Xk,1 [infinity] such that the asymptotic relation holds uniformly for all weights ck,1

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  • Zhu, Chun-hua & Gao, Qi-bing, 2008. "The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2552-2558, October.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:15:p:2552-2558
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    References listed on IDEAS

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    1. Ng, K.W. & Tang, Q.H. & Yang, H., 2002. "Maxima of Sums of Heavy-Tailed Random Variables," ASTIN Bulletin, Cambridge University Press, vol. 32(1), pages 43-55, May.
    2. Sgibnev, M. S., 1996. "On the distribution of the maxima of partial sums," Statistics & Probability Letters, Elsevier, vol. 28(3), pages 235-238, July.
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    Cited by:

    1. Chen, Yiqing, 2020. "A Kesten-type bound for sums of randomly weighted subexponential random variables," Statistics & Probability Letters, Elsevier, vol. 158(C).

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