Asymptotic Results for the Sum of Dependent Non-identically Distributed Random Variables
نویسندگان
چکیده
منابع مشابه
Asymptotic results for the sum of dependent non-identically distributed random variables
In this paper we extend some results about the probability that the sum of n dependent subexponential random variables exceeds a given threshold u. In particular, the case of non-identically distributed and not necessarily positive random variables is investigated. Furthermore we establish criteria how far the tail of the marginal distribution of an individual summand may deviate from the other...
متن کاملSaddlepoint approximations for the sum of independent non-identically distributed binomial random variables
We discuss saddlepoint approximations to the distribution of the sum of independent nonidentically distributed binomial random variables. The saddlepoint solution is the root of a polynomial equation. The paper provides an expression for the coefficients of a polynomial of any degree, the root of which can be found using a simple root-finding algorithm. We examine the accuracy of the saddlepoin...
متن کاملON THE DISTRIBUTION OF THE SUM OF n NON-IDENTICALLY DISTRIBUTED UNIFORM RANDOM VARIABLES
The distribution of the sum of independent identically distributed uniform random variables is well-known. However, it is sometimes necessary to analyze data which have been drawn from different uniform distributions. By inverting the characteristic function, we derive explicit formulæ for the distribution of the sum of n non-identically distributed uniform random variables in both the continuo...
متن کاملEntropy of the Sum of Two Independent, Non-Identically-Distributed Exponential Random Variables
In this letter, we give a concise, closed-form expression for the differential entropy of the sum of two independent, non-identically-distributed exponential random variables. The derivation is straightforward, but such a concise entropy has not been previously given in the literature. The usefulness of the expression is demonstrated with examples.
متن کاملGenerating the Maximum of Independent Identically Distributed Random Variables
Frequently the need arises for the computer generation of variates that are exact/y distributed as 2 = max(X,, . , X.) where X,, . . . , X, form a sequence of independent identically distributed random variables. For large n the individual generation of the Xi’s is unfeasible, and the inversion-of-a-beta-variate is potentially inaccurate. In this paper, we discuss and compare the corrected inve...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Methodology and Computing in Applied Probability
سال: 2008
ISSN: 1387-5841,1573-7713
DOI: 10.1007/s11009-007-9053-3