Renewal theory for random variables with a heavy tailed distribution and finite variance

Let X1,X2,...Xn be independent and identically distributed (i.i.d.) non-negative random variables with a common distribution function (d.f.) F with unbounded support and . We show that for a large class of heavy tailed random variables with a finite variance the renewal function U satisfies as x-->[infinity].

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Year of publication:	2011
Authors:	Geluk, J.L. ; Frenk, J.B.G.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 81.2011, 1, p. 77-82
Publisher:	Elsevier
Keywords:	Renewal function Subexponentiality Integrated tail Dominated variation

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

Persistent link: https://www.econbiz.de/10008868878