Distribution and moment characteristics of a quotient of heavy-tailed random variables
Let us deal with positive i.i.d. random variables X1, . . ., Xm having a tail index α. Calculating a quotient of two biggest members in the set, we obtain a new random variable and investigate its distribution and moment properties. The method itself was proposed by prof. V. Paulauskas and co-autho...
Saved in:
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Vilnius University Press
2023-09-01
|
| Series: | Lietuvos Matematikos Rinkinys |
| Subjects: | |
| Online Access: | https://www.zurnalai.vu.lt/LMR/article/view/30724 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Summary: | Let us deal with positive i.i.d. random variables X1, . . ., Xm having a tail index α. Calculating a quotient of two biggest members in the set, we obtain a new random variable and investigate its distribution and moment properties. The method itself was proposed by prof. V. Paulauskas and co-authors in [1] and [2].
|
|---|---|
| ISSN: | 0132-2818 2335-898X |