Get An Introduction to Heavy-Tailed and Subexponential PDF

By Sergey Foss, Dmitry Korshunov, Stan Zachary

ISBN-10: 1441994726

ISBN-13: 9781441994721

This monograph presents an entire and accomplished creation to the idea of long-tailed and subexponential distributions in a single size. New effects are provided in an easy, coherent and systematic method. all of the ordinary homes of such convolutions are then got as effortless effects of those effects. The publication specializes in extra theoretical features. A dialogue of the place the parts of functions presently stand in incorporated as is a few initial mathematical fabric. Mathematical modelers (for e.g. in finance and environmental technological know-how) and statisticians will locate this publication invaluable.

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Extra resources for An Introduction to Heavy-Tailed and Subexponential Distributions

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If F ∈ S∗ , then F ∈ SR and FI ∈ S. We do not provide a proof for this result now. Instead of that we recall the notion of an integrated weighted tail distribution and state sufficient conditions for its tail to be subexponential. 28. Let F be a distribution on R and let μ be a non-negative measure on R+ such that ∞ 0 F(t) μ (dt) is finite. 25), we can define the distribution Fμ on R+ by its tail: F μ (x) := min 1, ∞ 0 F(x + t) μ (dt) , x ≥ 0. 15) We may now ask the following question: what type of conditions on F imply the subexponentiality of Fμ ?

V) The distribution of min(ξ1 , . . , ξn ) is long-tailed. (vi) The distribution of max(ξ1 , . . , ξn ) is long-tailed. Proof. 16 to the corresponding tail functions. 16. 6 Long-Tailed Distributions and Integrated Tails In the study of random walks in particular, a key role is played by the integrated tail distribution, the fundamental properties of which we introduce in this section. 24. 21) (and hence x∞ F(y) dy < ∞ for any finite x) we define the integrated tail distribution FI via its tail function by F I (x) = min 1, ∞ x F(y)dy .

Ii)⇔(iii). We show now the equivalence of the conditions (ii) and (iii). Define first p = P{ξ < 0} and observe that, for x ≥ 0, P{ξ1+ + ξ2+ > x} = 2P{ξ1 < 0, ξ2 > x} + P{ξ1 + ξ2 > x, ξ1 ≥ 0, ξ2 ≥ 0} = 2pF(x) + (1 − p)2P{ξ1 + ξ2 > x | ξ1 ≥ 0, ξ2 ≥ 0} = 2pF(x) + (1 − p)2G ∗ G(x). e. to the subexponentiality of F + . The above lemma allows us to make the following definition of whole-line subexponentiality. 5. Let F be a distribution on R with right-unbounded support. We say that F is whole-line subexponential, and write F ∈ SR , if F is long-tailed and F ∗ F(x) ∼ 2F(x) as x → ∞.

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An Introduction to Heavy-Tailed and Subexponential Distributions by Sergey Foss, Dmitry Korshunov, Stan Zachary


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