Integro-local and integral theorems for sums of random variables with semiexponential distributions

被引:15
作者
Borovkov, A. A. [1 ]
Mogul'skii, A. A. [1 ]
机构
[1] Sobolev Inst Math, Novosibirsk, Russia
基金
俄罗斯基础研究基金会;
关键词
semiexponential distribution; integro-local theorem; Cramer series; segment of the Cramer series; random walk; large deviations; Cramer zone of deviations; intermediate zone of deviations; zone of approximation by the maximal summand;
D O I
10.1007/s11202-006-0110-x
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
We obtain some integro-local and integral limit theorems for the sums S(n) = xi + center dot center dot center dot + xi (n) of independent random variables with general semiexponential distribution (i.e., a distribution whose right tail has the form P(xi >= t) = e(-t beta L(t)), where beta is an element of (0, 1) and L(t) is a slowly varying function with some smoothness properties). These theorems describe the asymptotic behavior as x -> infinity of the probabilities P (S(n) is an element of [x, x + Delta)) and P (S(n) >= x) in the zone of normal deviations and all zones of large deviations of x: in the Cramer and intermediate zones, and also in the "extreme" zone where the distribution of S(n) is approximated by that of the maximal summand.
引用
收藏
页码:990 / 1026
页数:37
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