Small deviation probabilities for a weighted sum of independent positive random variables with common distribution function that can decrease at zero fast enough
Abstract:
The present note puts forward the most general conditions to date under
which the classical asymptotics of the small deviation probabilities
for a weighted sum of independent positive random
variables takes place. Regarding random variables it is assumed that their common distribution function
can, in particular, have an exponential falloff at zero.
Keywords:small deviations, sums of independent positive random variables.