Tail probabilities of St. Petersburg sums, trimmed sums, and their limit
Autor: | Berkes, István, Györfi, László, Kevei, Péter |
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Rok vydání: | 2015 |
Předmět: | |
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 |
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