Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152326 | Statistics & Probability Letters | 2011 | 7 Pages |
Abstract
In this article, we investigate the tail probability of the product of finitely many non-negative dependent random variables. They follow distributions from max-domains of attraction of extreme value distributions and their dependence is modeled via a multivariate Farlie–Gumbel–Morgenstern distribution. For each of the Fréchet, Gumbel and Weibull cases, we obtain an explicit asymptotic formula for the tail probability of the product. Our study extends a few known results in the literature.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Yingying Yang, Shuhe Hu, Tao Wu,