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The moment index of minima (II)

Daley, Daryl; Goldie, Charles M.


The moment index κ(X) = sup {k: E(Xk) < ∞} of a nonnegative random variable X has the property that κ(min (X, Y)) ≥ κ(X) + κ(Y) for independent r.v.s X and Y. We characterize conditions under which equality holds for a given r.v. X and every indep

CollectionsANU Research Publications
Date published: 2006
Type: Journal article
Source: Statistics and Probability Letters
DOI: 10.1016/j.spl.2005.10.013


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