The Contribution to the Sum of the Summand of Maximum Modulus
Pruitt, William E.
Ann. Probab., Tome 15 (1987) no. 4, p. 885-896 / Harvested from Project Euclid
Let $X_k$ be i.i.d., $S_n = X_1 + \cdots + X_n$, and $X^{(1)}_n$ the term of maximum modulus among $\{X_1,\ldots, X_n\}$. Let $u_k = P\{2^k < |X_1| \leq 2^{k+1}\parallel |X_1| > 2^k\}$. The main result is that $X^{(1)}_n/S_n \rightarrow 1$ a.s. $\operatorname{iff} \sum u^2_k < \infty$. Furthermore, for any positive integer $r, \lim\inf_{n\rightarrow\infty} |X^{(1)}_n/S_n| = r^{-1} \mathrm{a.s.} \operatorname{iff} \sum_k u^r_k = \infty$ and $\sum_ku^{r+1}_k < \infty$. If $\sum_ku^r_k = \infty$ for all $r$ then $\lim\inf_{n\rightarrow\infty} |X^{(1)}_n/S_n| = 0$ a.s.
Publié le : 1987-07-14
Classification:  Random walk,  trimmed sums,  dominance of maximal summand,  slowly varying tails,  60F15,  60G50
@article{1176992071,
     author = {Pruitt, William E.},
     title = {The Contribution to the Sum of the Summand of Maximum Modulus},
     journal = {Ann. Probab.},
     volume = {15},
     number = {4},
     year = {1987},
     pages = { 885-896},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176992071}
}
Pruitt, William E. The Contribution to the Sum of the Summand of Maximum Modulus. Ann. Probab., Tome 15 (1987) no. 4, pp.  885-896. http://gdmltest.u-ga.fr/item/1176992071/