Moderate deviations principle for products of sums of random variables (Q547408): Difference between revisions
From MaRDI portal
Created a new Item |
ReferenceBot (talk | contribs) Changed an Item |
||
(4 intermediate revisions by 4 users not shown) | |||
Property / review text | |||
In this paper, asymptotic properties of product \(\prod^n_{k=1} S_k\) of the sums \(S_k\) of positive random variables are investigated. In the introduction, the brief history of the topic is provided. The main result of the paper is the moderate deviation principle presented below. Let \(X_n\), \(n= 1,2,\dots\), be independent identically distributed random variables defined on a probability space \((\Omega,{\mathcal F},P)\), such that \(Ee^{\delta X_1}< \infty\) and \(Ee^{\delta|\ln X_1|}< \infty\) for some number \(\delta> 0\) and \(\mu= EX_1> 0\). Denote \(\sigma^2= E(X_1- EX_1)^2\), \(\gamma= \sigma/\mu\), \(S_n= X_1+\cdots+ X_n\). Let \(\{b_n\}_{n\geq 1}\) be a sequence of positive numbers such that \[ \lim_{n\to\infty}\, {b_n\ln n\over\sqrt{n}}= 0,\quad \lim_{n\to\infty}\, {\ln n\over b^2_n}= c\in [0,\infty]. \] Then, for any number \(t> 0\), \[ \lim_{n\to\infty}\, {1\over b^2_n}\ln P\Biggl\{{1\over b_n\sqrt{n}}\, \sum^{\alpha_n}_{k=1} \ln{S_k\over k}\geq t\Biggr\}= -\infty, \] where \[ \alpha_n= \begin{cases} b_n\sqrt{n}(\ln n)^{1/10},\quad &\text{if }\lim_{n\to\infty}\, {\ln n\over b^2_n}= c<\infty,\\ \sqrt{n}\ln n,\quad &\text{if }\lim_{n\to\infty}\, {\ln n\over b^2_n}= \infty.\end{cases} \] | |||
Property / review text: In this paper, asymptotic properties of product \(\prod^n_{k=1} S_k\) of the sums \(S_k\) of positive random variables are investigated. In the introduction, the brief history of the topic is provided. The main result of the paper is the moderate deviation principle presented below. Let \(X_n\), \(n= 1,2,\dots\), be independent identically distributed random variables defined on a probability space \((\Omega,{\mathcal F},P)\), such that \(Ee^{\delta X_1}< \infty\) and \(Ee^{\delta|\ln X_1|}< \infty\) for some number \(\delta> 0\) and \(\mu= EX_1> 0\). Denote \(\sigma^2= E(X_1- EX_1)^2\), \(\gamma= \sigma/\mu\), \(S_n= X_1+\cdots+ X_n\). Let \(\{b_n\}_{n\geq 1}\) be a sequence of positive numbers such that \[ \lim_{n\to\infty}\, {b_n\ln n\over\sqrt{n}}= 0,\quad \lim_{n\to\infty}\, {\ln n\over b^2_n}= c\in [0,\infty]. \] Then, for any number \(t> 0\), \[ \lim_{n\to\infty}\, {1\over b^2_n}\ln P\Biggl\{{1\over b_n\sqrt{n}}\, \sum^{\alpha_n}_{k=1} \ln{S_k\over k}\geq t\Biggr\}= -\infty, \] where \[ \alpha_n= \begin{cases} b_n\sqrt{n}(\ln n)^{1/10},\quad &\text{if }\lim_{n\to\infty}\, {\ln n\over b^2_n}= c<\infty,\\ \sqrt{n}\ln n,\quad &\text{if }\lim_{n\to\infty}\, {\ln n\over b^2_n}= \infty.\end{cases} \] / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60F10 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G05 / rank | |||
Normal rank | |||
Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 5916822 / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
moderate deviations principle | |||
Property / zbMATH Keywords: moderate deviations principle / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
products of sums | |||
Property / zbMATH Keywords: products of sums / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
independent identically distribution | |||
Property / zbMATH Keywords: independent identically distribution / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
positive random variables | |||
Property / zbMATH Keywords: positive random variables / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1007/s11425-011-4195-8 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W1965380523 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: The asymptotic distribution of sums of records / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3513671 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4391441 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A note on the almost sure limit theorem for the product of partial sums / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: An almost sure limit theorem for the product of partial sums with stable distribution / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Asymptotics for Self-Normalized Random Products of Sums for Mixing Sequences / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A note on asymptotic distribution of products of sums / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Weak convergence of products of sums of independent and non-identically distributed random variables / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Central limit theorem and almost sure central limit theorem for the product of some partial sums / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: An Extension of Almost Sure Central Limit Theory for the Product of Partial Sums / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4838527 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Asymptotics for self-normalized random products of sums of i.i.d. random variables / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4085018 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Limit distributions for products of sums. / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A note on the invariance principle of the product of sums of random variables / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: An almost sure central limit theorem for products of sums of partial sums under association / rank | |||
Normal rank | |||
links / mardi / name | links / mardi / name | ||
Latest revision as of 06:44, 4 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Moderate deviations principle for products of sums of random variables |
scientific article |
Statements
Moderate deviations principle for products of sums of random variables (English)
0 references
1 July 2011
0 references
In this paper, asymptotic properties of product \(\prod^n_{k=1} S_k\) of the sums \(S_k\) of positive random variables are investigated. In the introduction, the brief history of the topic is provided. The main result of the paper is the moderate deviation principle presented below. Let \(X_n\), \(n= 1,2,\dots\), be independent identically distributed random variables defined on a probability space \((\Omega,{\mathcal F},P)\), such that \(Ee^{\delta X_1}< \infty\) and \(Ee^{\delta|\ln X_1|}< \infty\) for some number \(\delta> 0\) and \(\mu= EX_1> 0\). Denote \(\sigma^2= E(X_1- EX_1)^2\), \(\gamma= \sigma/\mu\), \(S_n= X_1+\cdots+ X_n\). Let \(\{b_n\}_{n\geq 1}\) be a sequence of positive numbers such that \[ \lim_{n\to\infty}\, {b_n\ln n\over\sqrt{n}}= 0,\quad \lim_{n\to\infty}\, {\ln n\over b^2_n}= c\in [0,\infty]. \] Then, for any number \(t> 0\), \[ \lim_{n\to\infty}\, {1\over b^2_n}\ln P\Biggl\{{1\over b_n\sqrt{n}}\, \sum^{\alpha_n}_{k=1} \ln{S_k\over k}\geq t\Biggr\}= -\infty, \] where \[ \alpha_n= \begin{cases} b_n\sqrt{n}(\ln n)^{1/10},\quad &\text{if }\lim_{n\to\infty}\, {\ln n\over b^2_n}= c<\infty,\\ \sqrt{n}\ln n,\quad &\text{if }\lim_{n\to\infty}\, {\ln n\over b^2_n}= \infty.\end{cases} \]
0 references
moderate deviations principle
0 references
products of sums
0 references
independent identically distribution
0 references
positive random variables
0 references
0 references
0 references