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Sibirskii Matematicheskii Zhurnal, 2006, Volume 47, Number 4, Pages 946–955
(Mi smj907)
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This article is cited in 3 scientific papers (total in 3 papers)
Estimates for interval probabilities of the sums of random variables with locally subexponential distributions
V. V. Shneer Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences
Abstract:
Let $\{\xi_i\}_{i=1}$ be a sequence of independent identically distributed nonnegative random variables, $S_n=\xi_1+\dots+\xi_n$. Let $\Delta=(0,T]$ and $x+\Delta=(x,x+T]$. We study the ratios of the probabilities $\mathbf{P}(s_n\in x+\Delta)/\mathbf{P}(\xi\in x+\Delta)$ for all $n$ and $x$. The estimates uniform in $x$ for these ratios are known for the so-called $\Delta$-subexponential distributions. Here we improve these estimates for two subclasses of $\Delta$-subexponential distributions; one of them is a generalization of the well-known class $\mathscr{SC}$ to the case of the interval $(0,T]$ with an arbitrary $T\leqslant\infty$. Also, a characterization of the class $\mathscr{SC}$ is given.
Keywords:
subexponential distribution, locally subexponential distribution, sums of random variables, estimates for interval probabilities.
Received: 26.05.2005 Revised: 14.04.2006
Citation:
V. V. Shneer, “Estimates for interval probabilities of the sums of random variables with locally subexponential distributions”, Sibirsk. Mat. Zh., 47:4 (2006), 946–955; Siberian Math. J., 47:4 (2006), 779–786
Linking options:
https://www.mathnet.ru/eng/smj907 https://www.mathnet.ru/eng/smj/v47/i4/p946
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