Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation

作者：Yi Lan; Chen Yu^*; Su Chun

来源：Journal of Mathematical Analysis and Applications, 2011, 376(1): 365-372.

DOI：10.1016/j.jmaa.2010.10.020

• Asymptotic
• Randomly weighted sum
• Dominatedly-varying tail
• Tail probability
• Quasi-asymptotic independence

This paper deals with the approximation of the tail probability of randomly weighted sums of a sequence of pairwise quasi-asymptotically independent but non-identically distributed dominatedly-varying-tailed random variables. The weights are independent of the former sequence, satisfying some assumptions about the moments. But no requirements on the dependence structure of the weights are imposed.

• 出版日期2011-4-1
• 单位中国科学技术大学