Uniform estimate for the tail probabilities of randomly weighted sums

作者:Wang, Yin-feng; Yin, Chuan-cun*; Zhang, Xin-sheng
来源:Acta Mathematicae Applicatae Sinica-English Series, 2014, 30(4): 1063-1072.
DOI:10.1007/s10255-014-0446-0

摘要

Several authors have studied the uniform estimate for the tail probabilities of randomly weighted sums and their maxima. In this paper, we generalize their work to the situation that {X (i) , i a parts per thousand yen 1} is a sequence of upper tail asymptotically independent random variables with common distribution from the class , and {theta (i) , i a parts per thousand yen 1} is a sequence of nonnegative random variables, independent of {X (i) , i a parts per thousand yen 1} and satisfying some regular conditions. Moreover, no additional assumption is required on the dependence structure of {theta (i) , i a parts per thousand yen 1}.