Large deviations for infinite weighted sums of stretched exponential random variables

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:485

Article

关键词: Independent identically distributed random variables;    Large deviations;    Stretched exponential random variables;    Weighted sums;   

DOI  :  10.1016/j.jmaa.2019.123814

来源: Elsevier

【 摘 要 】

We study the large deviation probabilities of infinite weighted sums of independent random variables that have stretched exponential tails. This generalizes Kiesel and Stadtmuller [12], who study the same objects under the assumption of finite exponential moments, and Gantert et al. [8], who study finite weighted sums with stretched exponential tails. (C) 2020 Elsevier Inc. All rights reserved.

【 授权许可】

Free