|
Teoriya Veroyatnostei i ee Primeneniya, 1995, Volume 40, Issue 2, Pages 260–269
(Mi tvp3475)
|
|
|
|
This article is cited in 3 scientific papers (total in 3 papers)
Unimprovable exponential bounds for distributions of sums of a random number of random variables
A. A. Borovkov Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences
Abstract:
The basic object of the study is the asymptotic behavior of $\mathbf{P}(Z_\nu>t)$ as $t\to\infty $ for sums $Z_\nu$ of random number $\nu$ of random variables $\zeta_1,\zeta_2,\dots$ . It was established in [1] that, if conditional “with respect to the past” probabilities of the events $\{\zeta_k>t\}$ are dominated by a function $\delta_1(t)$, $\mathbf{P}(\nu>t)<\delta_2(t)$, and the functions $\delta_1$ and $\delta_2$ are close to power functions, then $\mathbf{P}(Z_\nu>t)<c\max(\delta_1(t),\delta_2(t))$, $c=\mathrm{const}$, and this bound cannot be improved. In the present paper, we study the asymptotics of $\mathbf{P}(Z_\nu>t)$ in the case when the functions $\delta_1$ and $\delta_2$ are exponential. The nature of unimprovable bounds for $\mathbf{P}(Z_\nu>t)$ turns out in this case to be different.
Keywords:
sums of random number of random variables, stopped sums, large deviations, exponential bounds.
Received: 16.12.1991
Citation:
A. A. Borovkov, “Unimprovable exponential bounds for distributions of sums of a random number of random variables”, Teor. Veroyatnost. i Primenen., 40:2 (1995), 260–269; Theory Probab. Appl., 40:2 (1995), 230–237
Linking options:
https://www.mathnet.ru/eng/tvp3475 https://www.mathnet.ru/eng/tvp/v40/i2/p260
|
Statistics & downloads: |
Abstract page: | 270 | Full-text PDF : | 74 | First page: | 13 |
|