Convolution equivalence and infinite divisibility
Known results relating the tail behaviour of a compound Poisson distribution function to that of its Lévy measure when one of them is convolution equivalent are extended to general infinitely divisible distributions. A tail equivalence result is obtained for random sum distributions in which the sum...
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| Veröffentlicht in: | Journal of applied probability 2004-06, Vol.41 (2), p.407-424 |
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| container_title | Journal of applied probability |
| container_volume | 41 |
| creator | Pakes, Anthony G. |
| description | Known results relating the tail behaviour of a compound Poisson distribution function to that of its Lévy measure when one of them is convolution equivalent are extended to general infinitely divisible distributions. A tail equivalence result is obtained for random sum distributions in which the summands have a two-sided distribution. |
| doi_str_mv | 10.1239/jap/1082999075 |
| format | Article |
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| ispartof | Journal of applied probability, 2004-06, Vol.41 (2), p.407-424 |
| issn | 0021-9002 1475-6072 |
| language | eng |
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| source | JSTOR Mathematics & Statistics; Jstor Complete Legacy |
| subjects | 60E07 60F99 Clines convolution equivalence Density Distribution functions Distribution theory Division Equivalence relation Exact sciences and technology infinite divisibility Infinity Mathematical models Mathematical theorems Mathematics Poisson distribution Probability Probability and statistics Probability theory and stochastic processes random sum Random variables Real lines Research Papers Sciences and techniques of general use Studies Subexponential distribution tail equivalence |
| title | Convolution equivalence and infinite divisibility |
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