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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1972 Volume 17, Issue 2, Pages 320–341 (Mi tvp2536)

This article is cited in 20 papers

On probabilities of large deviations for sums of independent random variables

L. V. Osipov

Leningrad

Abstract: Let $X_1,\dots,X_n,\dots$ be a sequence of independent identically distributed random variables with distribution function $F(x)$, and let $\mathbf EX_i=0$, $\mathbf DX_i=1$. Put
$$ F_n(x)=\mathbf P\biggl\{\sum_1^nX_i<x\biggr\},\quad\Phi(x)=\frac1{\sqrt{2\pi}}\int_{-\infty}^xe^{-z^2/2}\,dz. $$
Let $\Lambda(z)$ be such a function that $\Lambda(z)/\sqrt z\to\infty$, $z\to\infty$, and $\Lambda(z)<z^\alpha$, $1/2<\alpha<1$. We consider the following problem: under which conditions
$$ 1-F_n(x)=\biggl(1-\Phi\Bigl(\frac x{\sqrt n}\Bigr)\biggr)\exp\biggl\{\sum_{\nu=3}^k\mu_\nu\frac{x^\nu}{n^{\nu-1}}\biggr\}(1+o(1)),\quad n\to\infty, $$
uniformly in $x\in[0,\Lambda(n)]$ where $k$ is the largest integer for which $\varlimsup_{z\to\infty}\Lambda^k(z)/z^{k-1}>0$ and $\mu_3,\dots,\mu_k$ are real numbers? Theorem 4 gives an answer to this question under some additional restrictions on $\Lambda(z)$. In Theorem 2 we consider the case $\Lambda(z)=z^\alpha$.

Received: 24.09.1970


 English version:
Theory of Probability and its Applications, 1973, 17:2, 309–331

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