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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2002 Volume 294, Pages 165–193 (Mi znsl1694)

This article is cited in 6 papers

Limit theorems for large derivations of sums of independent random variables with common distribution function from the domain of attraction of the normal law

L. V. Rozovskii

Saint-Petersburg Chemical-Pharmaceutical Academy

Abstract: In the note some aspects of an asymptotic behavior of the probability $\mathbf P\bigl(S_n\ge\alpha b_n\bigr)$ are studied, where $S_n$ is sum of $n$ independent random variables with a common distribution function from the domain of attraction of a normal law, $\alpha$ is a positive number and $b_n$ is a non-decreasing sequence, which tends to infinity and satisfies some additional assumptions. In particular, we obtain the necessary and sufficient conditions under which the series $\sum\limits_n f_n\,\mathbf P\bigl( S_n\ge\alpha b_n \bigr)$ converges or, being properly normalized, has a limit if $\alpha\searrow\alpha_0$, where $\alpha_0$ is a positive constant and $f_n$ is some positive sequence of rather a general form.

UDC: 519.21

Received: 21.10.2002


 English version:
Journal of Mathematical Sciences (New York), 2005, 127:1, 1767–1783

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