A supplement to the laws of large numbers and the large deviations

DOI10.1080/17442508.2021.1903465zbMATH Open1492.60067arXiv2007.05150OpenAlexW3140419497MaRDI QIDQ5086729FDOQ5086729

Authors: Yu Miao, Deli Li 

Publication date: 7 July 2022

Published in: Stochastics (Search for Journal in Brave)

Abstract: Let $0<p<2$. Let $X,X_n;ngeq1$ be a sequence of independent and identically distributed $mathbfB$-valued random variables and set $S_n=su{m}_{i=1}^n{X}_i,ngeq1$. In this paper, a supplement to the classical laws of large numbers and the classical large deviations is provided. We show that if $S_n/n^{1/p}ightarro{w}_{mathbbP}0$, then, for all $s>0$, [ limsup_{n o infty} frac{1}{log n} log mathbb{P}left(left|S_{n} ight| > s n^{1/p} ight) = - (�ar{�eta} - p)/p ] and [ liminf_{n o infty} frac{1}{log n} log mathbb{P}left(left|S_{n} ight| > s n^{1/p} ight) = -(underline{�eta} - p)/p, ] where [ �ar{�eta} = - limsup_{t ightarrow infty} frac{log mathbb{P}(log |X| > t)}{t} ~~mbox{and}~~underline{�eta} = - liminf_{t ightarrow infty} frac{log mathbb{P}(log |X| > t)}{t}. ] The main tools employed in proving this result are the symmetrization technique and three powerful inequalities established by Hoffmann-J{o}rgensen (1974), de Acosta (1981), and Ledoux and Talagrand (1991), respectively. As a special case of this result, the main results of Hu and Nyrhinen (2004) are not only improved, but also extended.

Full work available at URL: https://arxiv.org/abs/2007.05150

Recommendations

• Precise lim sup behavior of probabilities of large deviations for sums of i.i.d. random variables
• scientific article; zbMATH DE number 1146121
• Publication:3025968
• Extended large deviations
• Moderate Deviations for I.I.D. Random Variables

zbMATH Keywords

large deviationslaws of large numbersheavy-tailed random variablessums of i.i.d. random variableslogarithmic asymptotic behaviours

Mathematics Subject Classification ID

Large deviations (60F10) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Complete convergence and almost sure convergence of weighted sums of random variables
• Title not available (Why is that?)
• Inequalities for B-valued random vectors with applications to the strong law of large numbers
• Asymptotic evaluation of certain Markov process expectations for large time—III
• A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations
• Title not available (Why is that?)
• Sums of independent Banach space valued random variables
• Precise lim sup behavior of probabilities of large deviations for sums of i.i.d. random variables
• A note on logarithmic tail asymptotics and mixing
• Large deviations of the sample mean in general vector spaces
• Stable Measures and Central Limit Theorems in Spaces of Stable Type
• A probability inequality for sums of independent Banach space valued random variables
• Large deviations for dependent heavy tailed random variables
• Large deviations view points for heavy-tailed random walks
• Title not available (Why is that?)
• Upper and lower bounds of large deviations for some dependent sequences
• A Generalization of an Inequality of Lévy

Cited In (6)

• Limit behaviors for a heavy-tailed \(\beta\)-mixing random sequence
• A general large deviation result for partial sums of i.i.d. super-heavy tailed random variables
• Large deviations for a super-heavy tailed \(\beta\)-mixing sequence
• A general logarithmic asymptotic behavior for partial sums of i.i.d. random variables
• Large deviations for some dependent heavy tailed random sequences
• Limit behaviors for a \(\beta \)-mixing sequence in the St. Petersburg game

This page was built for publication: A supplement to the laws of large numbers and the large deviations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5086729)