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Teoriya Veroyatnostei i ee Primeneniya, 1969, Volume 14, Issue 4, Pages 708–715 (Mi tvp1482)  

This article is cited in 6 scientific papers (total in 6 papers)

Short Communications

On the distribution of the maximum of cumulative sums of independent random variables

V. B. Nevzorov, V. V. Petrov

Leningrad State University
Full-text PDF (360 kB) Citations (6)
Abstract: Let $X_1,\dots,X_n$ be independent random variables, $S_k=\sum_{j=1}^kX_j$, $\overline S_n=\max\limits_{1\le k\le n}S_k$. Set
$$ G(x)= \begin{cases} \sqrt{\frac2\pi}\int_0^xe^{t^2/2}\,dt,&x>0, \\ 0,&x\le0. \end{cases} $$
An estimate for $\sup|\mathbf P(\overline S_n<bx)-G(x)|$, where $b$ is an arbitrary positive number, is obtained without assumptions about the existence of moments. Some corrolaries are derived from this result. For example, if $\mathbf EX_k=0$ for all $k$ and $q_n^2=\sum_{k=1}^n\mathbf EX_k^2<\infty$, then
$$ \sup_x|\mathbf P(\overline S_n<q_nx)-G(x)|<\frac{\Lambda_n(\varepsilon)}{\varepsilon^2}+12\varepsilon $$
for any $\varepsilon>0$. Here $\Lambda_n(\varepsilon)$ is the Lindeberg ratio defined by (10).
Received: 17.01.1969
English version:
Theory of Probability and its Applications, 1969, Volume 14, Issue 4, Pages 682–687
DOI: https://doi.org/10.1137/1114083
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: V. B. Nevzorov, V. V. Petrov, “On the distribution of the maximum of cumulative sums of independent random variables”, Teor. Veroyatnost. i Primenen., 14:4 (1969), 708–715; Theory Probab. Appl., 14:4 (1969), 682–687
Citation in format AMSBIB
\Bibitem{NevPet69}
\by V.~B.~Nevzorov, V.~V.~Petrov
\paper On the distribution of the maximum of cumulative sums of independent random variables
\jour Teor. Veroyatnost. i Primenen.
\yr 1969
\vol 14
\issue 4
\pages 708--715
\mathnet{http://mi.mathnet.ru/tvp1482}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=263139}
\zmath{https://zbmath.org/?q=an:0204.51203|0188.23802}
\transl
\jour Theory Probab. Appl.
\yr 1969
\vol 14
\issue 4
\pages 682--687
\crossref{https://doi.org/10.1137/1114083}
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  • https://www.mathnet.ru/eng/tvp/v14/i4/p708
  • This publication is cited in the following 6 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
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