A Ratio Limit Theorem for the Tails of Weighted Sums
Rootzen, Holger
Ann. Probab., Tome 15 (1987) no. 4, p. 728-747 / Harvested from Project Euclid
Let $\{Z_\lambda; \lambda = 0, \pm 1,\ldots\}$ be i.i.d. random variables which have a density $f$ which satisfies $f(z) \sim Kz^\alpha\exp\{-z^p\}$ as $z \rightarrow \infty$ for some constants $p > 1, K > 0$, and $\alpha$. Further let $q$ be defined by $p^{-1} + q^{-1} = 1$, and let $\{c_\lambda\}$ be constants with $c_\lambda = O(|\lambda|^{-\theta})$ for some $\theta > \max\{1,2/q\}$. Then, e.g., if $f$ is symmetric $\frac{P(\sum c_\lambda Z_\lambda > z + x/z^{p/q})}{P(\sum c_\lambda Z_\lambda > z)} \rightarrow \exp \{-p\|c\|^{-p}_q x\}, \text{as} z \rightarrow \infty$, for $\|c\|_q = (\sum|c_\lambda|^q)^{1/q}$, and similar results are obtained also for nonsymmetric cases, under some mild further smoothness restrictions. In addition, an order bound for $P(\sum c_\lambda Z_\lambda > z)$ itself is obtained, and precise estimates of this quantity are found for the special case of finite sums. In the companion paper [7], the results are crucially used to study extreme values of moving average processes.
Publié le : 1987-04-14
Classification:  Weighted sums,  tails of convolutions,  large deviations,  60E99
@article{1176992168,
     author = {Rootzen, Holger},
     title = {A Ratio Limit Theorem for the Tails of Weighted Sums},
     journal = {Ann. Probab.},
     volume = {15},
     number = {4},
     year = {1987},
     pages = { 728-747},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176992168}
}
Rootzen, Holger. A Ratio Limit Theorem for the Tails of Weighted Sums. Ann. Probab., Tome 15 (1987) no. 4, pp.  728-747. http://gdmltest.u-ga.fr/item/1176992168/