Some closure properties for subexponential distributions

Let X,Y be independent random variables with subexponential distributions. In this note we show that min(X,Y) has a subexponential distribution, but this is not necessarily true for max(X,Y). We also show that Xa has a subexponential distribution when a>1.

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Year of publication:	2009
Authors:	Geluk, Jaap
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 8, p. 1108-1111
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10005223356