Subexponentiality of the product of independent random variables

Suppose X and Y are independent nonnegative random variables. We study the behavior of P(XY>t), as t --> [infinity], when X has a subexponential distribution. Particular attention is given to obtaining sufficient conditions on P(Y>t) for XY to have a subexponential distribution. The relationship between P(X>t) and P(XY>t) is further studied for the special cases where the former satisfies one of the extensions of regular variation.

MoreLess

Year of publication:	1994
Authors:	Cline, D. B. H. ; Samorodnitsky, G.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 49.1994, 1, p. 75-98
Publisher:	Elsevier

More details

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

Persistent link: https://www.econbiz.de/10008874332