On Infinitely Divisible Laws and a Renewal Theorem for Non-Negative Random Variables
Smith, Walter L.
Ann. Math. Statist., Tome 39 (1968) no. 6, p. 139-154 / Harvested from Project Euclid
Let $\{X_n\}$ be an infinite sequence of independent non-negative random variables such that, for some regularly varying non-decreasing function $\lambda(n)$, with exponent $1/\beta, 0 < \beta < \infty$, as $n \rightarrow \infty$, $P\{X_1 + \cdots + X_n/\lambda(n) \leqq x\} \rightarrow K(x)$ at all continuity points of some d.f. $K(x)$. Let $\Lambda(x)$ be the function inverse to $\lambda(n)$, let $R(x)$ be any other regularly varying function of exponent $\alpha > 0$. Then, if $N(x)$ is the maximum $k$ for which $X_1 + \cdots + X_k \leqq x$, it is proved that, as $x \rightarrow \infty$, $\varepsilon R(N(x)) \sim I(\alpha\beta)R(\Lambda(x))$ where $I(\alpha\beta) = \int^\infty_0 u^{\alpha\beta} dK(u)$ and this latter integral may diverge.
Publié le : 1968-02-14
Classification: 
@article{1177698511,
     author = {Smith, Walter L.},
     title = {On Infinitely Divisible Laws and a Renewal Theorem for Non-Negative Random Variables},
     journal = {Ann. Math. Statist.},
     volume = {39},
     number = {6},
     year = {1968},
     pages = { 139-154},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177698511}
}
Smith, Walter L. On Infinitely Divisible Laws and a Renewal Theorem for Non-Negative Random Variables. Ann. Math. Statist., Tome 39 (1968) no. 6, pp.  139-154. http://gdmltest.u-ga.fr/item/1177698511/