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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2001 Volume 46, Issue 2, Pages 297–310 (Mi tvp3919)

This article is cited in 14 papers

Expectation of the Ratio of the Sum of Squares to the Square of the Sum: Exact and Asymptotic Results

A. Fuchsa, A. Joffeb, J. L. Teugelsc

a Université de Strasbourg
b Université de Montréal, Département de Mathématiques et de Statistique
c Katholieke Universiteit Leuven

Abstract: Let $X_i$, $i=1,\dots,n$, be a sequence of positive independent identically distributed random variables. Define
$$ R_n:=\mathbf{E}\frac{X_1^2+X_2^2+\dots+X_n^2}{(X_1+X_2+\dots+X_n)^2}. $$
Let $\varphi(s)=\mathbf{E}e^{-sX}$. We give an explicit representation of $R_n $ in terms of $\varphi$, and with the help of the Karamata theory of functions of regular variation, we study the asymptotic behavior of $R_n$ for large $n$.

Keywords: Karamata theory, functions of regular variation, domain of attraction of a stable law, Doeblin's universal law.

Received: 19.05.2000

DOI: 10.4213/tvp3919


 English version:
Theory of Probability and its Applications, 2002, 46:2, 243–255

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