Uniform Approximation of the Tail Probability of Weighted Sums of Subexponential Random Variables

Authors

Chenhua Zhang, University of Southern MississippiFollow
Shaobai Kan, John Jay College of Criminal Justice

Document Type

Article

Publication Date

11-1-2016

Abstract

For subexponential random variables X_i, 1 ⩽ i ⩽ n, the uniform asymptotic result is established for 0 < a_n(x) ⩽ c_i ⩽ b_n(x), 1 ⩽ i ⩽ n, where a_n(x) decreases to 0 and b(x) goes to infinity as x tends to infinity. It extends the current result when the subexponential random variables X_i’s are independent and gives the first uniform asymptotic result when X_i’s are dependent.

Publication Title

Communications in Statistics - Theory and Methods

Volume

45

Issue

21

First Page

6290

Last Page

6298

Recommended Citation

Zhang, C., Kan, S. (2016). Uniform Approximation of the Tail Probability of Weighted Sums of Subexponential Random Variables. Communications in Statistics - Theory and Methods, 45(21), 6290-6298.
Available at: https://aquila.usm.edu/fac_pubs/19513