Related papers: Tail Behavior of Randomly Weighted Sums

Let $X(t), t\in \mathcal{T}$ be a centered Gaussian random field with variance function $\sigma^2(\cdot)$ that attains its maximum at the unique point $t_0\in \mathcal{T}$, and let $M(\mathcal{T}):=\sup_{t\in \mathcal{T}} X(t)$. For…

We investigate a way of comparing and classifying tails of random variables. Our approach extends the notion of classical indices, such as exponential and moment indices, which are widely used measuring heaviness of tail functions. A…

We examine random variables in the power law/regularly varying class with stochastic tail exponent, the exponent $\alpha$ having its own distribution. We show the effect of stochasticity of $\alpha$ on the expectation and higher moments of…

We re-visit tail the index regressions framework. For linear specifications, we find that the usual full rank condition can fail because conditioning on extreme outcomes causes regressors to degenerate to constants. Taking this into…

An infinite convergent sum of independent and identically distributed random variables discounted by a multiplicative random walk is called perpetuity, because of a possible actuarial application. We give three disjoint groups of sufficient…

We study large deviation probabilities for a sum of dependent random variables from a heavy-tailed factor model, assuming that the components are regularly varying. We identify conditions where both the factor and the idiosyncratic terms…

In this paper, we give a Breiman's theorem for conditional dependent random vector, where one component has a regularly-varying-tailed distribution with the index $\alpha\ge0$ and its slowly varying function satisfies a relaxed condition,…

The paper presents an efficient method for simulating the tails of a target variable Z=h(X) which depends on a set of basic variables X=(X_1, ..., X_n). To this aim, variables X_i, i=1, ..., n are sequentially simulated in such a manner…

We consider the problem of finding the optimal upper bound for the tail probability of a sum of $k$ nonnegative, independent and identically distributed random variables with given mean $x$. For $k=1$ the answer is given by Markov's…

In this note we prove bounds on the upper and lower probability tails of sums of independent geometric or exponentially distributed random variables. We also prove negative results showing that our established tail bounds are asymptotically…

We study the lower tail large deviation problem for subgraph counts in a random graph. Let $X_H$ denote the number of copies of $H$ in an Erd\H{o}s-R\'enyi random graph $\mathcal{G}(n,p)$. We are interested in estimating the lower tail…

Let $\{\xi_1,\xi_2,\ldots\}$ be a sequence of independent random variables, and $\eta$ be a counting random variable independent of this sequence. In addition, let $S_0:=0$ and $S_n:=\xi_1+\xi_2+\cdots+\xi_n$ for $n\geqslant1$. We consider…

This note studies the asymptotic properties of the variable $$Z_d:=\frac{X_1}{d}|\{X_1+X_2=d\},$$ as $d\to \infty$. Here $X_1$ and $X_2$ are non-negative i.i.d. variables with a common twice differentiable density function $f$. General…

We consider the tail distribution of the edge cover time of a specific non-Markov process, $\delta$ once-reinforced random walk, on finite connected graphs, whose transition probability is proportional to weights of edges. Here the weights…

The asymptotic tail behaviour of sums of independent subexponential random variables is well understood, one of the main characteristics being the principle of the single big jump. We study the case of dependent subexponential random…

We consider a fixed-point equation for a non-negative integer-valued random variable, that appears in branching processes with state-independent immigration. A similar equation appears in the analysis of a single-server queue with a…

In this paper we discuss the asymptotic behaviour of random contractions $X=RS$, where $R$, with distribution function $F$, is a positive random variable independent of $S\in (0,1)$. Random contractions appear naturally in insurance and…

For a distribution $F^{*\tau}$ of a random sum $S_{\tau}=\xi_1+...+\xi_{\tau}$ of i.i.d. random variables with a common distribution $F$ on the half-line $[0,\infty)$, we study the limits of the ratios of tails…

The extremal tail probabilities of moving sums in a marked Poisson random field is examined here. These sums are computed by adding up the weighted occurrences of events lying within a scanning set of fixed shape and size. Change of measure…

Identifying groups of variables that may be large simultaneously amounts to finding out which joint tail dependence coefficients of a multivariate distribution are positive. The asymptotic distribution of a vector of nonparametric,…