Large deviations for random sums of negatively dependent random variables with consistently varying tails

Let {Xk,k=1,2,...} be a sequence of negatively dependent random variables with common distribution F and finite expectation [mu]. Under the assumption that the tail probability is consistently varying as x tends to infinity, this paper investigates precise large deviations for the random sum , where {N(t),t[greater-or-equal, slanted]0} is a nonnegative and integer-valued process independent of {Xk,k=1,2,...}.

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Year of publication:	2007
Authors:	Chen, Yu ; Zhang, Weiping
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 77.2007, 5, p. 530-538
Publisher:	Elsevier
Keywords:	Negative dependence Large deviation Random sum Consistently varying tail

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

Persistent link: https://www.econbiz.de/10005211843