Asymptotics of sums of lognormal random variables with Gaussian copula

Asmussen, S and Rojas-Nandayapa, L (2008) Asymptotics of sums of lognormal random variables with Gaussian copula. Statistics and Probability Letters, 78 16: 2709-2714.


Author Asmussen, S
Rojas-Nandayapa, L
Title Asymptotics of sums of lognormal random variables with Gaussian copula
Journal name Statistics and Probability Letters  (ERA 2012 Listed)    (ERA 2010 Rank B)   Check publisher's open access policy
Publication date 2008-11
Sub-type Article
DOI 10.1016/j.spl.2008.03.035
Volume number 78
Issue number 16
ISSN 0167-7152
Start page 2709
End page 2714
Total pages 6
Place of publication Amsterdam, Netherlands
Publisher Elsevier BV
Language eng
Formatted abstract Let (Y1, ..., Yn) have a joint n-dimensional Gaussian distribution with a general mean vector and a general covariance matrix, and let Xi = eYi, Sn = X1 + ⋯ + Xn. The asymptotics of P (Sn > x) as n → ∞ are shown to be the same as for the independent case with the same lognormal marginals. In particular, for identical marginals it holds that P (Sn > x) ∼ n P (X1 > x) no matter what the correlation structure is.
© 2008 Elsevier B.V. All rights reserved.
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Unknown

Document type: Journal Article
Sub-type: Article
Collection: School of Mathematics and Physics
 
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Created: Thu, 02 Dec 2010, 12:25:02 EST by Dr Leonardo Rojas-nandayapa on behalf of Mathematics