An Introduction to Heavy-Tailed and Subexponential by Sergey Foss, Dmitry Korshunov, Stan Zachary PDF

By Sergey Foss, Dmitry Korshunov, Stan Zachary

ISBN-10: 1461471001

ISBN-13: 9781461471004

ISBN-10: 146147101X

ISBN-13: 9781461471011

Heavy-tailed chance distributions are a tremendous part within the modeling of many stochastic structures. they're usually used to thoroughly version inputs and outputs of computing device and information networks and repair amenities comparable to name facilities. they're a vital for describing danger methods in finance and likewise for assurance premia pricing, and such distributions take place clearly in versions of epidemiological unfold. the category comprises distributions with energy legislation tails equivalent to the Pareto, in addition to the lognormal and likely Weibull distributions.

One of the highlights of this re-creation is that it contains difficulties on the finish of every bankruptcy. bankruptcy five is additionally up-to-date to incorporate attention-grabbing purposes to queueing conception, possibility, and branching methods. New effects are provided in an easy, coherent and systematic way.

Graduate scholars in addition to modelers within the fields of finance, coverage, community technology and environmental stories will locate this booklet to be an important reference.

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Extra info for An Introduction to Heavy-Tailed and Subexponential Distributions

Example text

6, together with the immediately preceding remark, imply that P{ξ1 + ξ2 > x, ξ1 > h(x), ξ2 > h(x)} = o(F(x)). Hence the result follows. 3 Subexponentiality and Weak Tail-Equivalence We start with the definition of weak tail-equivalence and then use this property to establish a number of powerful results. 9. Two distributions F and G with right-unbounded supports are called weakly tail-equivalent if there exist c1 > 0 and c2 < ∞ such that, for any x > 0, c1 ≤ F(x) ≤ c2 . G(x) This is equivalent to the condition 0 < lim inf x→∞ F(x) F(x) ≤ lim sup < ∞.

7. Let the distribution F on R be long-tailed. e. F ∈ SR . (ii) For every function h with h(x) < x/2 for all x and such that h(x) → ∞ as x → ∞, x−h(x) h(x) F(x − y)F(dy) = o(F(x)) as x → ∞. 6) holds. Proof. 6. 3 Subexponentiality and Weak Tail-Equivalence 49 as x → ∞. 20(ii). In the succeeding sections, we will make use of the following result. 8. Suppose that F is whole-line subexponential and that the function h is such that h(x) → ∞ as x → ∞. Let the distributions G1 , G2 be such that, for i = 1, 2, we have Gi (x) = O(F(x)) as x → ∞.

Suppose that the function f is long-tailed. Then there exists a function h such that h(x) → ∞ as x → ∞ and f is h-insensitive. Proof. 18), we can choose xn such that sup | f (x + y) − f (x)| ≤ f (x)/n |y|≤n for all x > xn . Without loss of generality we may assume that the sequence {xn } is increasing to infinity. Put h(x) = n for x ∈ [xn , xn+1 ]. Since xn → ∞ as n → ∞, we have h(x) → ∞ as x → ∞. By the construction we have sup | f (x + y) − f (x)| ≤ f (x)/n |y|≤h(x) for all x > xn , which completes the proof.

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An Introduction to Heavy-Tailed and Subexponential Distributions by Sergey Foss, Dmitry Korshunov, Stan Zachary


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