A note on max-sum equivalence

For finitely many independent real-valued random variables, if their maximum follows a subexponential distribution, then the tail probabilities of their sum and maximum are asymptotically equivalent.

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Year of publication:	2010
Authors:	Li, Jinzhu ; Tang, Qihe
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 23-24, p. 1720-1723
Publisher:	Elsevier
Subject:	Long tail Max-sum equivalence Subexponentiality

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008868859