Maxima of sums and random sums for negatively associated random variables with heavy tails

This paper obtains some asymptotics for the tail probabilities of the maximum of sums and random sums of negatively associated (NA) random variables with heavy tails, showing that the NA dependence structure does not affect the asymptotic behavior of these tail probabilities.

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Year of publication:	2004
Authors:	Wang, Dingcheng ; Tang, Qihe
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 68.2004, 3, p. 287-295
Publisher:	Elsevier
Keywords:	Asymptotics Heavy tails Maximum of sums Random sums Negative association Tail probabilities

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

Persistent link: https://www.econbiz.de/10005074589