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Zapiski Nauchnykh Seminarov POMI, 2008, Volume 361, Pages 109–122
(Mi znsl2184)
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Small deviations of modified sums of independent random variables
L. V. Rozovskii Saint-Petersburg Chemical-Pharmaceutical Academy
Abstract:
Let $S_n=X_1+\dots+X_n$, $n\ge1$, $S_0=0$, where $X_1,X_2,\dots$ are independent identically distributed random variables such that the distributions of $S_n/B_n$ converge weakly to nondegenerate distribution $F_\alpha$ as $n\to\infty$ for some positive $B_n$.
We study the asymptotic behavior of sums such as
$$
\sum_{n\ge1}f_n\,\mathbf P\Bigl(\frac1{B_n}R^*_n\le\frac r{\phi_n}\Bigr),\qquad r\nearrow\infty,
$$
where
$$
R^*_n=\max_{0\le k\le n}(S_k+d(k/n)\,S_n)-\min_{0\le k\le n}(S_k+d(k/n)\,S_n),
$$
a function $d(t)$ is continuous on $[0,1]$ and has a power decrease at zero point
$$
f_n\ge0,\qquad\sum_{n\ge1}f_n=\infty,\qquad\phi_n\nearrow\infty.
$$
Bibl. – 13 titles.
Received: 15.10.2008
Citation:
L. V. Rozovskii, “Small deviations of modified sums of independent random variables”, Probability and statistics. Part 13, Zap. Nauchn. Sem. POMI, 361, POMI, St. Petersburg, 2008, 109–122; J. Math. Sci. (N. Y.), 159:3 (2009), 341–349
Linking options:
https://www.mathnet.ru/eng/znsl2184 https://www.mathnet.ru/eng/znsl/v361/p109
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Abstract page: | 285 | Full-text PDF : | 58 | References: | 64 |
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