On the long tail property of product convolution
Probability
2019-01-08 v1
Abstract
Let and be two independent random variables with corresponding distributions and supported on . The distribution of the product , which is called the product convolution of and , is denoted by . In this paper, some suitable conditions about and are given, under which the distribution belongs to the long-tailed distribution class. Here, is a generalized long-tailed distribution and is not necessarily an exponential distribution. Finally, a series of examples are given to show that the above conditions are satisfied by many distributions and one of them is necessary in some sense.
Cite
@article{arxiv.1901.01399,
title = {On the long tail property of product convolution},
author = {Zhaolei Cui and Guancheng Jiang and Yuebao Wang},
journal= {arXiv preprint arXiv:1901.01399},
year = {2019}
}