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The moment index of minima (II)

The moment index ?(X)=sup{k:E(Xk)<[infinity]} of a nonnegative random variable X has the property that for independent r.v.s X and Y. We characterize conditions under which equality holds for a given r.v. X and every independent nonnegative r.v. Y, and discuss extensions to related r.v.s and their distributions.
Year of publication:
2006
Authors: Daley, D.J. ; Goldie, Charles M.
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 76.2006, 8, p. 831-837
Publisher: Elsevier
Keywords: Exponential index Moment index Regular variation
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005211885
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