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