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Sums of Dependent Nonnegative Random Variables with Subexponential Tails

Published online by Cambridge University Press:  14 July 2016

Bangwon Ko*
Affiliation:
The University of Iowa
Qihe Tang*
Affiliation:
The University of Iowa
*
Postal address: Department of Statistics and Actuarial Science, The University of Iowa, 241 Schaeffer Hall, Iowa City, IA 52242, USA.
Postal address: Department of Statistics and Actuarial Science, The University of Iowa, 241 Schaeffer Hall, Iowa City, IA 52242, USA.
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Abstract

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In this paper we study the asymptotic tail probabilities of sums of subexponential, nonnegative random variables, which are dependent according to certain general structures with tail independence. The results show that the subexponentiality of the summands eliminates the impact of the dependence on the tail behavior of the sums.

Type
Research Article
Copyright
Copyright © Applied Probability Trust 2008 

References

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