Asymptotics for Weighted Random Sums

DOI10.1239/AAP/1354716592MaRDI QIDQ4906510zbMATH OpenOpenAlexFDO

Authors Mariana Olvera-Cravioto

Publication date 28 February 2013

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1102.0301, https://projecteuclid.org/euclid.aap/1354716592

zbMATH Keywords

regular variationheavy tailrandomly stopped sumrandomly weighted sumBreiman's theoremintermediate regular variation

Mathematics Subject Classification ID

Large deviations (60F10) Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Abstract: Let $X_i$ be a sequence of independent identically distributed random variables with an intermediate regularly varying (IR) right tail $$. Let $(N,C_1,\mathrm{...},C_N)$ be a nonnegative random vector independent of the $X_i$ with $NinmathbbNcupinfty$. We study the weighted random sum $S_N=su{m}_{i=1}^N{C}_i{X}_i$, and its maximum, $M_N=su{p}_{1leqk<N+1}su{m}_{i=1}^k{C}_i{X}_i$. These type of sums appear in the analysis of stochastic recursions, including weighted branching processes and autoregressive processes. In particular, we derive conditions under which ${\displaystyle }$P(M_N > x) sim P(S_N > x) sim E[sum_{i=1}^N �ar{F}(x/C_i)],${\displaystyle }$ as $xoinfty$. When $E[X_1]>0$ and the distribution of $Z_N=su{m}_{i=1}^N{C}_i$ is also IR, we obtain the asymptotics ${\displaystyle }$P(M_N > x) sim P(S_N > x) sim E[sum_{i=1}^N �ar{F}(x/C_i)] + P(Z_N > x/E[X_1]).${\displaystyle }$ For completeness, when the distribution of $Z_N$ is IR and heavier than $$, we also obtain conditions under which the asymptotic relations ${\displaystyle }$P(M_N > x) sim P(S_N > x) sim P(Z_N > x/E[X_1])${\displaystyle }$ hold.

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Cited in

(30)

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