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不同分布的卷积的局部封闭性及局部渐近性的充分条件和必要条件 被引量:2

THE SUFFICIENT CONDITION AND NECESSARY CONDITION OF LOCAL CLOSURE AND LOCAL ASYMPTOTIC FOR THE CONVOLUTIONS OF NON-IDENTICAL DISTRIBUTIONS
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摘要 得到了支撑在[0,∞)上的不同分布的卷积(包括卷积根)的局部封闭性及局部渐近性的充分条件和必要条件,它揭示了不同分布的卷积及两两卷积之间的内在关系.这一结果的充分性部分推广了Geluk等非局部的相应结果,并且两者使用的方法是不同的;而这一结果的必要性部分是Geluk等人的结果中所没有的.最后,讨论了(-∞,∞)上不同分布卷积的局部封闭性及局部渐近性. This paper is concerned with some sufficient conditions and necessary conditions of local closure and local asymptotics for the convolutions (including convolution roots)of non-identical distributions on [0, ∞), which reveal the relations between convolutions and pairwise convolutions of non-identical distributions. The sufficient part of the result extends the corresponding non-local result of Geluk(2006), and the methods used here are different from theirs, the necessary part of the result is not included in the Geluk's paper. Finally, the local closure and local asymptotics for the convolutions of non-identical distributions on (-∞,∞) are considered.
出处 《系统科学与数学》 CSCD 北大核心 2009年第4期527-535,共9页 Journal of Systems Science and Mathematical Sciences
基金 国家自然科学基金(10671139)资助课题.
关键词 卷积(卷积根) 局部次指数族 局部封闭性 局部渐近性. Convolution(convolution root), local subexponential, local closure, local asymptotic.
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参考文献9

  • 1Geluk J L, De Vries C G. Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities. Insurance: Mathematics and Economics, 2006, 38:39- 56.
  • 2Asmussen S, Foss S, Korshunov D. Asymptotics for sums of random variables with local subexponential behaviour. J. Theoret. Prob., 2003, 16: 489-518.
  • 3Chistyakov V P. A theorem on sum of independent positive random variables and its application to branching random processes. Theory Probab. Appl., 1964, 9: 640-648.
  • 4Ng K W, Tang Q. Asymptotic behaviour of tail and local probabilities for sums of subexponential random variables. J. Appl. Prob., 2004, 41: 108-116.
  • 5Wang Y, Yang Y and Wang K. The closure of a local subexponential distribution with applications applications to the compound Poisson process. J. Appl. Prob., 2005, 42: 1194-1203.
  • 6Wang Y, Yang Y, Wang K and Cheng D. Some new equivalent conditions on asymptotics for random sums and their applications. Insurance: Mathematics and Economics, 2007, 40(2): 256- 266.
  • 7Embrechts P and Goldie C. On closure and factorization properties of subexponential and related distributions. J. Austral. Math. Soc., 1980, 29: 243-256.
  • 8陈维,王岳宝.分布卷积的局部渐进性的一些充分条件和必要条件[J].伊犁师范学院学报(自然科学版),2007,0(1):1-7. 被引量:2
  • 9Geluk J L. Asymptotics in the symmetrization inequality. Stat. Prob. Letters, 2004, 69 : 63-68.

二级参考文献1

  • 1S?ren Asmussen,Serguei Foss,Dmitry Korshunov. Asymptotics for Sums of Random Variables with Local Subexponential Behaviour[J] 2003,Journal of Theoretical Probability(2):489~518

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