基于 Bernstein Copula 函数的随机变量序列的 Max-Sum 局部等价式

Abstract

Abstract:

In this paper, we consider a sequence of non-negative dependent and not necessarily identically distributed random variables with local long-tailed marginal distributions and Bernstein copula and study the local asymptotic behavior of the tail of their partial sum and maximum. Then, under a suitable condition for local subexponentiality, we obtain the local max-sum equivalence. The result indicates that the big-jump principle of random walks remains valid in its local version under more general dependency assumptions. The numerical experimental results under different parameter settings further validate the stability and feasibility of the obtained results.

Key words: Bernstein copula, Local max-sum equivalence, Local subexponentiality, Principle of a single big jump

CLC Number:

O175.23

Ming Ruixing, Lou Zhenhan, Cui Sheng, Gong Chan. Local Max-sum Equivalence of Random Variables with Bernstein Copula[J].Acta mathematica scientia,Series A, 2024, 44(4): 1110-1125.

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References

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Local Max-sum Equivalence of Random Variables with Bernstein Copula

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