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This article is cited in 2 scientific papers (total in 2 papers)
Large Deviations of Sums of Random Variables of Two Types
A. A. Borovkov Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences
Abstract:
Let $\xi_1,\xi_2,\dots$; $\tau_1,\tau_2,\dots$ be two sequences of independent random variables, with $\xi_i$
and $\tau_i$ distributed respectively as $\xi$ and $\tau$ and with
$$
\mathbb{E}|\xi|<\infty, \quad \mathbb{E}|\tau|<\infty, \quad S_n=\sum_{i=1}^n\xi_i, \quad T_m=\sum_{i=1}^m\tau_i.
$$
In this article we study the asymptotics of large deviation probabilities of the sums $T_m+S_n$ for the following three classes of distribution tails for $\tau$ and $\xi$: regular (heavy), semiexponential, and exponentially decreasing. The numbers $m$ and $n$ may be either fixed or unboundedly increasing. The cause for appearance of this article is the articles [1, 2] addressing a particular case of the problem under consideration.
Key words:
large deviation, sum of random variables, summands of two types.
Received: 17.04.2001
Citation:
A. A. Borovkov, “Large Deviations of Sums of Random Variables of Two Types”, Mat. Tr., 4:2 (2001), 3–26; Siberian Adv. Math., 11:4 (2001), 1–24
Linking options:
https://www.mathnet.ru/eng/mt10 https://www.mathnet.ru/eng/mt/v4/i2/p3
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Abstract page: | 441 | Full-text PDF : | 199 | References: | 62 | First page: | 1 |
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