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Exact upper tail probabilities of random series

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  • Yang, Xiangfeng

Abstract

In this paper, we obtain new estimates on upper tail probabilities of suitable random series involving a distribution having an exponential tail. These estimates are exact, and the distribution is not heavy-tailed.

Suggested Citation

  • Yang, Xiangfeng, 2015. "Exact upper tail probabilities of random series," Statistics & Probability Letters, Elsevier, vol. 99(C), pages 13-19.
    • Handle: RePEc:eee:stapro:v:99:y:2015:i:c:p:13-19
    DOI: 10.1016/j.spl.2014.12.026
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    References listed on IDEAS

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    1. Zhang, Yi & Shen, Xinmei & Weng, Chengguo, 2009. "Approximation of the tail probability of randomly weighted sums and applications," Stochastic Processes and their Applications, Elsevier, vol. 119(2), pages 655-675, February.
    2. Embrechts, Paul & Goldie, Charles M., 1982. "On convolution tails," Stochastic Processes and their Applications, Elsevier, vol. 13(3), pages 263-278, September.
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