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

DOI10.3150/14-BEJ685zbMATH Open1336.60042arXiv1308.0521WikidataQ64023149 ScholiaQ64023149MaRDI QIDQ265287FDOQ265287

Authors: Gábor Fukker, László Györfi, Peter Kevei 

Publication date: 1 April 2016

Published in: Bernoulli (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1308.0521

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zbMATH Keywords

limit distributionconditional limit theoremgeneralized St. Petersburg summaximummerging theoremsemistable law

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05)

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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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