Extremes of normed empirical moment generating function processes (Q2488434): Difference between revisions

Let \(X_i\) be i.i.d. r.v.s with moment generating function \(S(\vartheta)=\mathbf{E}\exp(\vartheta X_i)\), \(\Theta=\{\vartheta: S(\vartheta)<\infty\}\) and let \(S_n(\vartheta)=n^{-1}\sum_{i=1}^n \exp(\vartheta X_i)\) be the empirical moment generating function. It is shown that for suitable sequences \(a_n=O(\log\log n)^{1/2}\), \[ \mathbf{P}\biggl\{a_n \Bigl[\sup_{\vartheta\in\Theta_n} S_n(\vartheta)-a_n\Bigr]+ \log 2\pi<x \biggr\}\to\exp(-e^x), \] where \(\Theta_n\) is any sequence of sets such that \(\bigcup_n \Theta_n=\Theta/2\).