Asymptotic behavior of the generalized St. Petersburg sum conditioned on its maximum

DOI10.3150/14-BEJ685MaRDI QIDQ265287zbMATH OpenWikidataFDO

Authors Gábor Fukker, László Györfi, Peter Kevei

Publication date 1 April 2016

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1308.0521, https://projecteuclid.org/euclid.bj/1447077768

zbMATH Keywords

limit distributionconditional limit theoremgeneralized St. Petersburg summaximummerging theoremsemistable law

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05)

Abstract: In this paper, we revisit the classical results on the generalized St. Petersburg sums. We determine the limit distribution of the St. Petersburg sum conditioning on its maximum, and we analyze how the limit depends on the value of the maximum. As an application, we obtain an infinite sum representation of the distribution function of the possible semistable limits. In the representation, each term corresponds to a given maximum, in particular this result explains that the semistable behavior is caused by the typical values of the maximum.

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Cited in

(4)

• On distributionally robust extreme value analysis
• Large deviations of sums mainly due to just one summand for super-heavy tailed distributions
• Tail probabilities of St. Petersburg sums, trimmed sums, and their limit
• Distributional representations and dominance of a Lévy process over its maximal jump processes

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