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On the long tail property of product convolution

Probability 2019-01-08 v1

Abstract

Let XX and YY be two independent random variables with corresponding distributions FF and GG supported on [0,)[0,\infty). The distribution of the product XYXY, which is called the product convolution of FF and GG, is denoted by HH. In this paper, some suitable conditions about FF and GG are given, under which the distribution HH belongs to the long-tailed distribution class. Here, FF 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.

Keywords

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}
}