Randomly weighted sums and their maxima with heavy-tailed increments and dependence structure
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DOI: 10.1080/03610926.2016.1248785
Abstract: ABSTRACT Consider the randomly weighted sums Sm(θ) = ∑mi = 1θiXi, 1 ⩽ m ⩽ n, and their maxima Mn(θ) = max 1 ⩽ m ⩽ nSm(θ), where Xi, 1 ⩽ i ⩽ n, are real-valued… read more here.
Keywords: dependence structure; weighted sums; randomly weighted; sums maxima ... See more keywords