Subexponentiality of the product of dependent random variables

Let X and Y be two nonnegative dependent random variables according to a copula function. Under appropriate conditions, the closure property of the product XY is derived when X belongs to class S and R, respectively. Some examples are provided to illustrate the impact of the dependence structure on the tail behavior of the product.

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Year of publication:	2013
Authors:	Yang, Haizhong ; Sun, Suting
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 9, p. 2039-2044
Publisher:	Elsevier
Subject:	Subexponentiality \| Regular variation \| Product \| Tail probability

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

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