Abstract
We consider the tail behavior of the product of two independent nonnegative random variables X and Y. Breiman (1965) has considered this problem, assuming that X is regularly varying with index α and that E{Yα+ε} < ∞ for some ε > 0. We investigate when the condition on Y can be weakened and apply our findings to analyze a class of random difference equations.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
44 articles.
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