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Distributions that are both subexponential and in the domain of attraction of an extreme-value distribution

Published online by Cambridge University Press:  01 July 2016

Charles M. Goldie  and
Sidney Resnick
Charles M. Goldie*
Affiliation:
University of Sussex
Sidney Resnick*
Affiliation:
Colorado State University
*
∗Postal address: Statistical Laboratory, 16 Mill Lane, Cambridge CB2 1SB, UK.
∗∗Postal address: Department of Operations Research, Upson Hall, Cornell University, Ithaca, NY 14853, USA.
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Abstract

When does a distribution F have the property of both being in the domain of attraction of exp {–e–x} and having a second convolution-power tail equivalent to the first: Sufficient conditions and examples are given.

Keywords

SUBEXPONENTIAL DISTRIBUTIONSEXTREME-VALUE DISTRIBUTIONSCONVOLUTIONS
Type
Research Article
Information
Advances in Applied Probability , Volume 20 , Issue 4 , December 1988 , pp. 706 - 718
Copyright
Copyright © Applied Probability Trust 1988 

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Footnotes

Supported during 1985–1986 by a UK Science and Engineering Research Council Grant and at the end by NSF Grant MCS 8501763. The hospitality of the Mathematics Division, University of Sussex, is acknowledged.

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