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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2004 Volume 49, Issue 4, Pages 803–813 (Mi tvp198)

This article is cited in 7 papers

Short Communications

On exact asymptotics in the weak law of large numbers for sums of independent random variables with a common distribution function from the domain of attraction of a stable law. II

L. V. Rozovskii

Saint-Petersburg Chemical-Pharmaceutical Academy

Abstract: Let us consider independent identically distributed random variables $X_1, X_2, \dots\,$, such that
$$ U_n=\frac{S_n}{B_n} -n\,a_n \longrightarrow \xi_\alpha\qquad weakly as\quad n\to\infty, $$
where $S_n = X_1 + \cdots + X_n$, $B_n>0$, $a_n$ are some numbers $(n\geq 1)$, and a random variable $\xi_\alpha$ has a stable distribution with characteristic exponent $\alpha\in[1,2]$.
Our basic purpose is to find conditions under which
$$ \sum_n f_n{P}\big\{U_n\geq\varepsilon\varphi_n\big\}\sim \sum_n f_n{P}\big\{\xi_\alpha\ge\varepsilon\varphi_n\big\}, \qquad\varepsilon\searrow 0, $$
with a positive sequence $\varphi_n$, which tends to infinity and satisfies mild additional restrictions, and with a nonnegative sequence $f_n$ such that $\sum_n f_n =\infty $.

Keywords: independent random variables, law of large numbers, stable law.

Received: 05.02.2003

DOI: 10.4213/tvp198


 English version:
Theory of Probability and its Applications, 2005, 49:4, 724–734

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