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Teoriya Veroyatnostei i ee Primeneniya, 1974, Volume 19, Issue 2, Pages 257–277 (Mi tvp2833)  

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
Full-text PDF (765 kB) Citations (7)
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
English version:
Theory of Probability and its Applications, 1975, Volume 19, Issue 1, Pages 245–266
DOI: https://doi.org/10.1137/1119032
Bibliographic databases:
Language: Russian
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
Citation in format AMSBIB
\Bibitem{Ara74}
\by T.~V.~Arak
\paper On the distribution of the maximum cumulative sum of independent random variables
\jour Teor. Veroyatnost. i Primenen.
\yr 1974
\vol 19
\issue 2
\pages 257--277
\mathnet{http://mi.mathnet.ru/tvp2833}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=343344}
\zmath{https://zbmath.org/?q=an:0321.60044}
\transl
\jour Theory Probab. Appl.
\yr 1975
\vol 19
\issue 1
\pages 245--266
\crossref{https://doi.org/10.1137/1119032}
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  • https://www.mathnet.ru/eng/tvp/v19/i2/p257
  • This publication is cited in the following 7 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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