Comparison for upper tail probabilities of random series

DOI10.1016/J.JKSS.2013.01.005zbMATH Open1294.60047arXiv1302.2435OpenAlexW2079529024MaRDI QIDQ395902FDOQ395902

Authors: Fuchang Gao, Zhenxia Liu, Xiangfeng Yang 

Publication date: 7 August 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Abstract: Let $x{i}_n$ be a sequence of independent and identically distributed random variables. In this paper we study the comparison for two upper tail probabilities $mathbbPsu{m}_{n=1}^{infty}{a}_n|x{i}_n{|}^{p}geqr$ and $mathbbPsu{m}_{n=1}^{infty}{b}_n|x{i}_n{|}^{p}geqr$ as $rightarrowinfty$ with two different real series $a_n$ and $b_n.$ The first result is for Gaussian random variables $x{i}_n,$ and in this case these two probabilities are equivalent after suitable scaling. The second result is for more general random variables, thus a weaker form of equivalence (namely, logarithmic level) is proved.

Full work available at URL: https://arxiv.org/abs/1302.2435

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zbMATH Keywords

tail probabilitysmall deviationrandom series

Mathematics Subject Classification ID

Large deviations (60F10) Sums of independent random variables; random walks (60G50)

Cites Work

• On the lower tail probabilities of some random series
• Extremes of moving averages of random variables with finite endpoint
• Tail and moment estimates for sums of independent random variables with logarithmically concave tails
• Tail probabilities of Gaussian suprema and Laplace transform
• Comparison theorems for small deviations of random series
• The large deviation principle for certain series
• Tail and moment estimates for sums of independent random vectors with logarithmically concave tails
• Some Elementary Properties of Infinite Products
• Logarithmic level comparison for small deviation probabilities

Cited In (6)

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• Comparison theorems for small deviations of random series
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• Comparison of moments for tangent sequences of random variables
• Exact upper tail probabilities of random series
• Rademacher-Gaussian tail comparison for complex coefficients and related problems

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