Abstract
For a random variable (RV) X its moment index κ(X) ≡ sup{κ : E(|X|κ) < ∞} lies in 0 ≤ κ (X) ≤∞; it is a critical quantity and finite for heavy-tailed RVs. The paper shows that κ (min(X, Y)) ≥ κ(X) + κ (Y) for independent non-negative RVs X and Y. For independent non-negative ‘excess' RVs Xs and Ys whose distributions are the integrated tails of X and Y, κ (X) + κ (Y) ≤ κ (min(Xs, Ys)) + 2 ≤ κ (min(X, Y)). An example shows that the inequalities can be strict, though not if the tail of the distribution of either X or Y is a regularly varying function.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
8 articles.
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