Compound Sums and Subexponentiality
We investigate compound distributions - for example, compound mixed Poisson distributions - in the case where the summands, the mixing distribution or the number of summands are subexponential. It is shown that such distributions are subexponential. As an illustration the tail of the maximum of a Bj...
| Veröffentlicht in: | Bernoulli. - International Statistical Institute and Bernoulli Society for Mathematical Statistics and Probability, 1995. - 5(1999), 6, Seite 999-1012 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1999
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| Zugriff auf das übergeordnete Werk: | Bernoulli |
| Schlagworte: | Compound distribution Extreme-value theory Integrated tail distribution Mixed Poisson distribution Subexponential distribution Mathematics Philosophy Physical sciences Behavioral sciences Economics mehr... |