On a transformation between distributions obeying the principle of a single big jump
Probability
2014-11-07 v1
Abstract
Beck et al. (2013) introduced a new distribution class J which contains many heavy-tailed and light-tailed distributions obeying the principle of a single big jump. Using a simple transformation which maps heavy-tailed distributions to light-tailed ones, we find some light-tailed distributions, which belong to the class J but do not belong to the convolution equivalent distribution class and which are not even weakly tail equivalent to any convolution equivalent distribution. This fact helps to understand the structure of the light-tailed distributions in the class J and leads to a negative answer to an open question raised by the above paper.
Keywords
Cite
@article{arxiv.1411.1625,
title = {On a transformation between distributions obeying the principle of a single big jump},
author = {Hui Xu and Michael Scheutzow and Yuebao Wang},
journal= {arXiv preprint arXiv:1411.1625},
year = {2014}
}
Comments
12 pages