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Randomly stopped sums with consistently varying distributions

Published 13 Jul 2016 in math.PR | (1607.03619v1)

Abstract: Let ${\xi_1,\xi_2,\ldots}$ be a sequence of independent random variables, and $\eta$ be a counting random variable independent of this sequence. We consider conditions for ${\xi_1,\xi_2,\ldots}$ and $\eta$ under which the distribution function of the random sum $S_{\eta}=\xi_1+\xi_2+\cdots+\xi_{\eta}$ belongs to the class of consistently varying distributions. In our consideration, the random variables ${\xi_1,\xi_2,\ldots}$ are not necessarily identically distributed.

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