An example of a heavy tailed distribution
Article
2011-10-13
We study some properties of the distribution function of a random variable of the form
X = CD, where C and D are independent random variables. We assume that C is absolutely
continuous and limited to a nite interval, such that its probability density function has
de nite limits at the endpoints of the interval and D is exponentially distributed. We show
that the tail function ¹ F(:) := 1 ¡ F(¢) is of regular variation and that the distribution
function F is asymptotically equivalent to a log-gamma distribution. Then F can be
considered as a heavy tailed distribution. It is also shown that it is contained is an special
subclass of the subexponential distributions.
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Descripción:
Vol. XIII No 1 junio,2005 p. 43-50.pdf
Título: Vol. XIII No 1 junio,2005 p. 43-50.pdf
Tamaño: 139.6Kb
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Título: Vol. XIII No 1 junio,2005 p. 43-50.pdf
Tamaño: 139.6Kb


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