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Zapiski Nauchnykh Seminarov LOMI, 1979, Volume 85, Pages 6–16
(Mi znsl2948)
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This article is cited in 3 scientific papers (total in 3 papers)
On probabilities of moderate deviations
N. N. Amosova
Abstract:
Let $\{X_n;n=1,2,\dots\}$ be a sequence of independent identically distributed random variables, and let $\sigma>0$ and $c>0$. Put
$$
S_n=\sum_{i=1}^n X_i,\quad\Phi(x)=\frac1{\sqrt{2\pi}}\int_{-\infty}^x e^{-t^2/2}\,dt.
$$
The rate of convergence of probabilities $P(S_n\geq\varepsilon(n\log n)^{1/r})$, $P(\max_{1\leq k\leq n}S_k\geq\varepsilon(n\log n)^{1/r})$ and $P(\sup_{k\geq n}\frac{S_k}{(k\log k)^{1/r}}\geq\varepsilon)$ for all $\varepsilon>\varepsilon_0$ and some $r$, $\varepsilon_0$ is studied and necessary and sufficient conditions are found for the relation
$$
P(S_n\geq x\sigma\sqrt n)=(1-\Phi(x))(1+O(1)),\quad n\to\infty,\quad0\leq x\leq C\sqrt{\log n},
$$
to hold.
Citation:
N. N. Amosova, “On probabilities of moderate deviations”, Investigations in the theory of probability distributions. Part IV, Zap. Nauchn. Sem. LOMI, 85, "Nauka", Leningrad. Otdel., Leningrad, 1979, 6–16; J. Soviet Math., 20:3 (1982), 2123–2130
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https://www.mathnet.ru/eng/znsl2948 https://www.mathnet.ru/eng/znsl/v85/p6
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