Publication:2837632

DOI10.1103/PHYSREVLETT.89.070201zbMATH Open1267.82050arXivmath/0106037OpenAlexW1765770360WikidataQ74639311 ScholiaQ74639311MaRDI QIDQ2837632FDOQ2837632

Michael I. Tribelsky

Publication date: 11 July 2013

Published in: Physical Review Letters (Search for Journal in Brave)

Abstract: The exact expression for the probability density $p_{{}_N}(x)$ for sums of a finite number $N$ of random independent terms is obtained. It is shown that the very tail of $p_{{}_N}(x)$ has a Gaussian form if and only if all the random terms are distributed according to the Gauss Law. In all other cases the tail for $p_{{}_N}(x)$ differs from the Gaussian. If the variances of random terms diverge the non-Gaussian tail is related to a Levy distribution for $p_{{}_N}(x)$. However, the tail is not Gaussian even if the variances are finite. In the latter case $p_{{}_N}(x)$ has two different asymptotics. At small and moderate values of $x$ the distribution is Gaussian. At large $x$ the non-Gaussian tail arises. The crossover between the two asymptotics occurs at $x$ proportional to $N$. For this reason the non-Gaussian tail exists at finite $N$ only. In the limit $N$ tends to infinity the origin of the tail is shifted to infinity, i. e., the tail vanishes. Depending on the particular type of the distribution of the random terms the non-Gaussian tail may decay either slower than the Gaussian, or faster than it. A number of particular examples is discussed in detail.

Full work available at URL: https://arxiv.org/abs/math/0106037

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31)

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Cited In (8)

• Poissonian and non-Poissonian Voronoi diagrams with application to the aggregation of molecules
• On the voting power of an alliance and the subsequent power of its members
• Applying the solution for the first multiplicity of types equation to calculate exact approximations of the probability distributions of statistical values
• An exact method for \(Pm/sds, r_{i}/ \sum^{n}_{i=1} C_{i}\) problem
• Large deviations, condensation and giant response in a statistical system
• On high-order discrete derivatives of stochastic variables
• Any Random Variable with Finite Moments Is a Sum of Two Variables with Determinate Moment Problem
• Conditioned random walks and interaction-driven condensation

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