Application of Tauberian Theorem to the Exponential Decay of the Tail Probability of a Random Variable

DOI10.1109/TIT.2007.903114MaRDI QIDQ3548927zbMATH OpenOpenAlexFDO

Authors Kenji Nakagawa

Publication date 21 December 2008

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0602569

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Limit theorems in probability theory (60F99) Tauberian theorems (40E05)

Abstract: We give a sufficient condition for the exponential decay of the tail probability of a non-negative random variable. We consider the Laplace-Stieltjes transform of the probability distribution function of the random variable. We present a theorem, according to which if the abscissa of convergence of the LS transform is negative finite and the real point on the axis of convergence is a pole of the LS transform, then the tail probability decays exponentially. For the proof of the theorem, we extend and apply so-called a finite form of Ikehara's complex Tauberian theorem by Graham-Vaaler.

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