The moment index of minima (II)

Daryl J. Daley; Charles M. Goldie

doi:10.1016/j.spl.2005.10.013

The moment index of minima (II)

Daryl J. Daley^*, Charles M. Goldie

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

10 Citations (Scopus)

Abstract

The moment index κ(X) = sup {k: E(X^k) < ∞} of a nonnegative random variable X has the property that κ(min (X, Y)) ≥ κ(X) + κ(Y) for independent r.v.s X and Y. We characterize conditions under which equality holds for a given r.v. X and every independent nonnegative r.v. Y, and discuss extensions to related r.v.s and their distributions.

Original language	English
Pages (from-to)	831-837
Number of pages	7
Journal	Statistics and Probability Letters
Volume	76
Issue number	8
DOIs	https://doi.org/10.1016/j.spl.2005.10.013
Publication status	Published - 15 Apr 2006

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title = "The moment index of minima (II)",

abstract = "The moment index κ(X) = sup {k: E(Xk) < ∞} of a nonnegative random variable X has the property that κ(min (X, Y)) ≥ κ(X) + κ(Y) for independent r.v.s X and Y. We characterize conditions under which equality holds for a given r.v. X and every independent nonnegative r.v. Y, and discuss extensions to related r.v.s and their distributions.",

keywords = "Exponential index, Moment index, Regular variation",

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T1 - The moment index of minima (II)

AU - Daley, Daryl J.

AU - Goldie, Charles M.

PY - 2006/4/15

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N2 - The moment index κ(X) = sup {k: E(Xk) < ∞} of a nonnegative random variable X has the property that κ(min (X, Y)) ≥ κ(X) + κ(Y) for independent r.v.s X and Y. We characterize conditions under which equality holds for a given r.v. X and every independent nonnegative r.v. Y, and discuss extensions to related r.v.s and their distributions.

AB - The moment index κ(X) = sup {k: E(Xk) < ∞} of a nonnegative random variable X has the property that κ(min (X, Y)) ≥ κ(X) + κ(Y) for independent r.v.s X and Y. We characterize conditions under which equality holds for a given r.v. X and every independent nonnegative r.v. Y, and discuss extensions to related r.v.s and their distributions.

KW - Exponential index

KW - Moment index

KW - Regular variation

UR - http://www.scopus.com/inward/record.url?scp=33644895699&partnerID=8YFLogxK

U2 - 10.1016/j.spl.2005.10.013

DO - 10.1016/j.spl.2005.10.013

M3 - Article

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VL - 76

SP - 831

EP - 837

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 8

ER -

The moment index of minima (II)

Abstract

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