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...
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| Format: | Article |
| Language: | English |
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Vilnius University Press
2023-09-01
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| Series: | Lietuvos Matematikos Rinkinys |
| Subjects: | |
| Online Access: | https://www.zurnalai.vu.lt/LMR/article/view/30724 |
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