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Aggregation of independent Paretian random variables

Published online by Cambridge University Press:  01 July 2016

Bertrand Roehner and
Peter Winiwarter
Bertrand Roehner*
Affiliation:
Laboratoire de Physique Théorique et Hautes Energies, † Paris
Peter Winiwarter*
Affiliation:
Laboratoire de Physique Théorique et Hautes Energies, † Paris
*
∗Postal address: Université Paris VII, Tour 14-24, 5ème étage, 2, place Jussieu, 75251 Paris Cedex 05, France.
‡Postal address: Le Bordalier, F41270 Droné, France.
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Abstract

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Empirical Paretian distributions play an important role in urban demography, size distributions of firms and income distributions; hence the addition of Paretian random variables is of interest. First, we give the asymptotic behavior (for large values of the variable) of the density function of a sum of n independently distributed Paretian variables. We then obtain the limiting distribution of an infinite sum of (i.i.d) Paretian variables and link our results with the theory of stable distributions.

Information

Type
Letters to the Editor
Information
Advances in Applied Probability , Volume 17 , Issue 2 , June 1985, pp. 465 - 469
Copyright
Copyright © Applied Probability Trust 1985 

Footnotes

†

Laboratoire associé au CNRS LA 280.

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