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Teoriya Veroyatnostei i ee Primeneniya, 1974, Volume 19, Issue 2, Pages 257–277
(Mi tvp2833)
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This article is cited in 7 scientific papers (total in 7 papers)
On the distribution of the maximum cumulative sum of independent random variables
T. V. Arak Tallinn
Abstract:
Let $X_1,\dots,X_n$ be independent random variables with $\mathbf EX_k=0$ and $\mathbf E|x_k|^3=\gamma_{3k}<\infty$. Let
$$
S_0=0,\quad S_k=\sum_{i=1}^kX_i\quad(k=1,\dots,n),\quad\overline{S_n}=\max\limits_{0\le k\le n}S_k,\quad B_k^2=\sum_{i=1}^k\mathbf DX_i.
$$
In the paper, some bounds for
$$
\Delta_n(x)=\mathbf P\{\overline{S_n}<x\}-\sqrt{\frac2\pi}\int_0^{x/B_n}e^{-y^2/2}\,dy\quad(x\ge0)
$$
are obtained. The main result is the following
Theorem. {\em Let $x\ge0$. Then
$$
|\Delta_n(x)|\le C\sum_{k=1}^n\frac{x+\rho_k}{x+\rho_k+B_k}\cdot\frac{B_n\gamma_{3k}}{(B_k^2+x^2)(B_n+x)B_{k-1,n}}
$$
where $\rho_k=\max\limits_{i\le k}\gamma_{3i}/\mathbf DX_i$ and} $B_{k-1,n}=(\sum_{i=k}^n\mathbf DX_i)^{1/2}$.
Received: 09.07.1973
Citation:
T. V. Arak, “On the distribution of the maximum cumulative sum of independent random variables”, Teor. Veroyatnost. i Primenen., 19:2 (1974), 257–277; Theory Probab. Appl., 19:1 (1975), 245–266
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