Some properties of subexponential distributions
Matematičeskie zametki, Tome 62 (1997) no. 1, pp. 138-144
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The nonnegative random variable $X$ is said to have a subexponential distribution if we have $\bigl(1-G(t)\bigr)\big/\bigl(1-F(t)\bigr)\to2$ as $t\to\infty$, where $F(t)=\mathsf P\{X\le t\}$ and $G(t)$ is the convolution of $F(t)$ with itself. Conditions on the distribution of independent nonnegative random variables $X$ and $Y$ such that $\max(X,Y)$ and $\min(X,Y)$ have a subexponential distribution are given.
@article{MZM_1997_62_1_a15,
author = {A. L. Yakymiv},
title = {Some properties of subexponential distributions},
journal = {Matemati\v{c}eskie zametki},
pages = {138--144},
publisher = {mathdoc},
volume = {62},
number = {1},
year = {1997},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/MZM_1997_62_1_a15/}
}
A. L. Yakymiv. Some properties of subexponential distributions. Matematičeskie zametki, Tome 62 (1997) no. 1, pp. 138-144. http://geodesic.mathdoc.fr/item/MZM_1997_62_1_a15/