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This article is cited in 2 scientific papers (total in 2 papers)
On the probabilities of large deviations of the Shepp statistic
A. M. Kozlov
Abstract:
We find the asymptotic behaviour of the probability of large deviations
$\mathsf P(W_{L,L}\geq\theta L)$ of the Shepp statistic $W_{L,L}$ which
is equal to the maximum of fluctuations of the random walk
$$
S_n=\sum_{i=1}^n\xi_i
$$
in the window of width $L$ moving in the interval $[1,2L]$ as $L\to\infty$ and
$\theta$ is a constant. We assume that $\xi_1,\xi_2,\ldots$ are independent
identically distributed random variables with non-lattice distribution satisfying the
right-side Cramer condition. We show that the asymptotics are of the form
$H_\theta L\mathsf P(S_l\geq\theta L)$, where $H_\theta$ is a constant depending on $\theta$.
This research was supported by the Russian Foundation for Basic Research, grant
01–0100–649.
Received: 20.01.2004
Citation:
A. M. Kozlov, “On the probabilities of large deviations of the Shepp statistic”, Diskr. Mat., 16:1 (2004), 140–145; Discrete Math. Appl., 14:2 (2004), 211–216
Linking options:
https://www.mathnet.ru/eng/dm148https://doi.org/10.4213/dm148 https://www.mathnet.ru/eng/dm/v16/i1/p140
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