| Title |
Product convolution of generalized subexponential distributions |
| Authors |
Mikutavičius, Gustas ; Šiaulys, Jonas |
| DOI |
10.3390/math11010248 |
| Full Text |
|
| Is Part of |
Mathematics.. Basel : MDPI. 2023, vol. 11, iss. 1, art. no. 248, p. [1-11].. eISSN 2227-7390 |
| Keywords [eng] |
Tail function ; closure property ; product-convolution ; generalized subexponential distribution ; heavy-tailed distribution |
| Abstract [eng] |
Assume that ξ and η are two independent random variables with distribution functions Fξ and Fη, respectively. The distribution of a random variable ξη, denoted by Fξ⊗Fη, is called the product-convolution of Fξ and Fη. It is proved that Fξ⊗Fη is a generalized subexponential distribution if Fξ belongs to the class of generalized subexponential distributions and η is nonnegative and not degenerated at zero. |
| Published |
Basel : MDPI |
| Type |
Journal article |
| Language |
English |
| Publication date |
2023 |
| CC license |
|
