Subexponentiality of the product of independent random variables
- Additional Document Info
- View All
Suppose X and Y are independent nonnegative random variables. We study the behavior of P(XY>t), as t → ∞, when X has a subexponential distribution. Particular attention is given to obtaining sufficient conditions on P(Y>t) for XY to have a subexponential distribution. The relationship between P(X>t) and P(XY>t) is further studied for the special cases where the former satisfies one of the extensions of regular variation. © 1994.
author list (cited authors)
Cline, D., & Samorodnitsky, G.