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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1974 Volume 19, Issue 2, Pages 257–277 (Mi tvp2833)

This article is cited in 7 papers

On the distribution of the maximum cumulative sum of independent random variables

T. V. Arak

Tallinn

Abstract: Let $X_1,\dots,X_n$ be independent random variables with $\mathbf EX_k=0$ and $\mathbf E|x_k|^3=\gamma_{3k}<\infty$. Let
$$ S_0=0,\quad S_k=\sum_{i=1}^kX_i\quad(k=1,\dots,n),\quad\overline{S_n}=\max\limits_{0\le k\le n}S_k,\quad B_k^2=\sum_{i=1}^k\mathbf DX_i. $$
In the paper, some bounds for
$$ \Delta_n(x)=\mathbf P\{\overline{S_n}<x\}-\sqrt{\frac2\pi}\int_0^{x/B_n}e^{-y^2/2}\,dy\quad(x\ge0) $$
are obtained. The main result is the following
Theorem. {\em Let $x\ge0$. Then
$$ |\Delta_n(x)|\le C\sum_{k=1}^n\frac{x+\rho_k}{x+\rho_k+B_k}\cdot\frac{B_n\gamma_{3k}}{(B_k^2+x^2)(B_n+x)B_{k-1,n}} $$
where $\rho_k=\max\limits_{i\le k}\gamma_{3i}/\mathbf DX_i$ and} $B_{k-1,n}=(\sum_{i=k}^n\mathbf DX_i)^{1/2}$.

Received: 09.07.1973


 English version:
Theory of Probability and its Applications, 1975, 19:1, 245–266

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