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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. LOMI, 1977 Volume 72, Pages 92–97 (Mi znsl1964)

A class of limit distributions for maximum cumulative sum

V. B. Nevzorov


Abstract: Let $X_1,X_2,\dots$ be a sequence of independent identically distributed random variables with zero mathematical expectation and finite variances. $S_0=0$ and $S_n\sum^n_{i=1}X_i$. It is proved that $G_a(x)= \begin{cases} 0, & \text{\rm{ if }}x\leqslant a,\\ \dfrac{\Phi(x)-\Phi(a)}{1-\Phi(a)}, & \text{\rm{ if }}x\geqslant a. \end{cases}$ is the limit distribution function of the normalized random variable $\overline S_n=\max_{0\leqslant k\leqslant n}\{S_k+a(k,n)\}$ for some sequence of centering constants $a(k,n)$.

UDC: 519.65


 English version:
Journal of Soviet Mathematics, 1983, 23:3, 2286–2290

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