Abstract:
We obtain an integro-local limit theorem for the sum S(n)=ξ(1)+⋯+ξ(n) of independent identically distributed random variables with distribution whose right tail varies regularly; i.e., it has the form P(ξ⩾t)=t−βL(t) with β>2 and some slowly varying function L(t). The theorem describes the asymptotic behavior on the whole positive half-axis of the probabilities
P(S(n)∈[x,x+Δ))
as x→∞ for a fixed Δ>0; i.e., in the domain where the normal approximation applies, in the domain where S(n) is approximated by the distribution of its maximum term, as well as at the “junction” of these two domains.
Keywords:
regularly varying distribution, integro-local theorem, integral theorem, theorem applicable on the whole half-axis, function of deviations, large deviations, domain of normal approximation, domain of maximum term approximation.
Citation:
A. A. Mogul'skii, “An integro-local theorem applicable on the whole half-axis to the sums of random variables with regularly varying distributions”, Sibirsk. Mat. Zh., 49:4 (2008), 837–854; Siberian Math. J., 49:4 (2008), 669–683
\Bibitem{Mog08}
\by A.~A.~Mogul'skii
\paper An integro-local theorem applicable on the whole half-axis to the sums of random variables with regularly varying distributions
\jour Sibirsk. Mat. Zh.
\yr 2008
\vol 49
\issue 4
\pages 837--854
\mathnet{http://mi.mathnet.ru/smj1882}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2456695}
\zmath{https://zbmath.org/?q=an:1164.60332}
\elib{https://elibrary.ru/item.asp?id=10429011}
\transl
\jour Siberian Math. J.
\yr 2008
\vol 49
\issue 4
\pages 669--683
\crossref{https://doi.org/10.1007/s11202-008-0064-2}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000258913200010}
\elib{https://elibrary.ru/item.asp?id=13584085}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-51549083419}
Linking options:
https://www.mathnet.ru/eng/smj1882
https://www.mathnet.ru/eng/smj/v49/i4/p837
This publication is cited in the following 6 articles:
A. V. Logachov, A. A. Mogul'skii, “Moderate deviation principles for the trajectories of inhomogeneous random walks”, Siberian Math. J., 64:1 (2023), 111–127
Bloznelis M., “Local Probabilities of Randomly Stopped Sums of Power-Law Lattice Random Variables”, Lith. Math. J., 59:4, SI (2019), 437–468
Delbaen F., Kowalski E., Nikeghbali A., “Mod-Phi Convergence”, Int. Math. Res. Notices, 2015, no. 11, 3445–3485
A. A. Borovkov, K. A. Borovkov, “Blackwell-type theorems for weighted renewal functions”, Siberian Math. J., 55:4 (2014), 589–605
A. A. Mogulskii, “Integralnye i integro-lokalnye teoremy dlya summ sluchainykh velichin s semieksponentsialnymi raspredeleniyami”, Sib. elektron. matem. izv., 6 (2009), 251–271
A. A. Borovkov, A. A. Mogul'skii, “On Large Deviations of Sums of Independent Random Vectors on the Boundary and Outside of the Cramér Zone. I”, Theory Probab. Appl., 53:2 (2009), 301–311