Asymptotics in the symmetrization inequality
2003-08-07
Research Paper
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We give a sufficient condition for i.i.d. random variables X1,X2 in order to have P{X1-X2>x} ~ P{|X1|>x} as x tends to infinity. A factorization property for subexponential distributions is used in the proof. In a subsequent paper the results will be applied to model fragility of financial markets.
Keywords
Automatically Extracted Terms
- distribution
- subexponential
- subexponential distributions
- lemma
- theorem
- proof
- function
- x 2 |
- variable
- distribution function
- theorem 2 b
- application
- theorem 2
- embrecht
- symmetrization
- inequality
- goldie
- subexponentiality
- subexponential distribution function
- result
