The moment index of minima (II)

Date

2006

Authors

Daley, Daryl
Goldie, Charles M.

Journal Title

Journal ISSN

Volume Title

Publisher

Elsevier

Abstract

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

Description

Keywords

Keywords: Exponential index; Moment index; Regular variation

Citation

Source

Statistics and Probability Letters

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

Restricted until

2037-12-31