The moment index of minima (II)
Date
2006
Authors
Daley, Daryl
Goldie, Charles M.
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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
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Keywords
Keywords: Exponential index; Moment index; Regular variation
Citation
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Source
Statistics and Probability Letters
Type
Journal article
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Restricted until
2037-12-31
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