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JOURNALS // Matematicheskie Trudy // Archive

Mat. Tr., 2001 Volume 4, Number 2, Pages 3–26 (Mi mt10)

This article is cited in 2 papers

Large Deviations of Sums of Random Variables of Two Types

A. A. Borovkov

Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences

Abstract: Let $\xi_1,\xi_2,\dots$; $\tau_1,\tau_2,\dots$ be two sequences of independent random variables, with $\xi_i$ and $\tau_i$ distributed respectively as $\xi$ and $\tau$ and with
$$ \mathbb{E}|\xi|<\infty, \quad \mathbb{E}|\tau|<\infty, \quad S_n=\sum_{i=1}^n\xi_i, \quad T_m=\sum_{i=1}^m\tau_i. $$
In this article we study the asymptotics of large deviation probabilities of the sums $T_m+S_n$ for the following three classes of distribution tails for $\tau$ and $\xi$: regular (heavy), semiexponential, and exponentially decreasing. The numbers $m$ and $n$ may be either fixed or unboundedly increasing. The cause for appearance of this article is the articles [1, 2] addressing a particular case of the problem under consideration.

Key words: large deviation, sum of random variables, summands of two types.

UDC: 519.21

Received: 17.04.2001


 English version:
Siberian Advances in Mathematics, 2001, 11:4, 1–24

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