Artículo de revista
An example of a heavy tailed distribution.
Autor
Giraldo Gómez, Norman
Institución
Resumen
We study some properties of the distribution function of a random variable of the form
X = CD, where C and D are independent random variables. We assume that C is absolutely
continuous and limited to a nite interval, such that its probability density function has
de nite limits at the endpoints of the interval and D is exponentially distributed. We show
that the tail function ¹ F(:) := 1 ¡ F(¢) is of regular variation and that the distribution
function F is asymptotically equivalent to a log-gamma distribution. Then F can be
considered as a heavy tailed distribution. It is also shown that it is contained is an special
subclass of the subexponential distributions.