Tail probabilities of St. Petersburg sums, trimmed sums, and their limit

Autor:	Berkes, István, Györfi, László, Kevei, Péter
Rok vydání:	2015
Předmět:	Mathematics - Probability 60F05 60E07
Druh dokumentu:	Working Paper
Popis:	We provide exact asymptotics for the tail probabilities $\mathbb{P} \{S_{n,r} > x\}$ as $x \to \infty$, for fix $n$, where $S_{n,r}$ is the $r$-trimmed partial sum of i.i.d. St. Petersburg random variables. In particular, we prove that although the St. Petersburg distribution is only O-subexponential, the subexponential property almost holds. We also determine the exact tail behavior of the $r$-trimmed limits. Comment: 24 pages, 2 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1507.02846 Zobrazit plný text záznamu View this record from Arxiv