Title : ( Asymptotic behavior of product of two heavy-tailed Dependent Random Variables )
Authors: Vahid Ranjbar , Mohammad Amini , Jaap Geluk , Abolghasem Bozorgnia ,
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Abstract
Let emph{X} and emph{Y} be positive weakly negatively dependent (WND) random variables with finite expectations and continuous distribution functions emph{F} and emph{G } with heavy tails, respectively. The asymptotic behavior of the tail of distribution of emph{XY} is studied and some closure properties under some suitable conditions o bar{F}(x)=1-F(x) and bar{G}(x)=1-G(x) are provided. Moreover, Subexponentiality of XY when X and Y are WND random variables is derived.
Keywords
, Weakly Negative Dependent, Heavy-Tailed, Asymptotic behavior
@article{paperid:1031094,
author = {Vahid Ranjbar and Amini, Mohammad and Jaap Geluk and Bozorgnia, Abolghasem},
title = {Asymptotic behavior of product of two heavy-tailed Dependent Random Variables},
journal = {Acta Mathematica Sinica-English series},
year = {2013},
volume = {29},
number = {2},
month = {February},
issn = {1439-8516},
pages = {355--364},
numpages = {9},
keywords = {Weakly Negative Dependent; Heavy-Tailed;
Asymptotic behavior},
}
%0 Journal Article
%T Asymptotic behavior of product of two heavy-tailed Dependent Random Variables
%A Vahid Ranjbar
%A Amini, Mohammad
%A Jaap Geluk
%A Bozorgnia, Abolghasem
%J Acta Mathematica Sinica-English series
%@ 1439-8516
%D 2013
