Tail Probability and Singularity of Laplace-Stieltjes Transform of a Heavy Tailed Random Variable
Probability
2009-09-02 v2 Complex Variables
Abstract
In this paper, we will give a sufficient condition for a non-negative random variable to be heavy tailed by investigating the Laplace-Stieltjes transform of the probability distribution function. We focus on the relation between the singularity at the real point of the axis of convergence and the asymptotic decay of the tail probability. Our theorem is a kind of Tauberian theorems.
Keywords
Cite
@article{arxiv.0909.0090,
title = {Tail Probability and Singularity of Laplace-Stieltjes Transform of a Heavy Tailed Random Variable},
author = {Kenji Nakagawa},
journal= {arXiv preprint arXiv:0909.0090},
year = {2009}
}
Comments
22 pages, no figure