DOI

The behavior of tail probabilities P{S ≤ r}, r → 0 is investigated, where S is a series S = ∑λjZj generated by some sequence of positive numbers {λj} and by a sequence {Zj} of independent copies of a positive random variable Z. We present the exact asymptotic expression for P{S ≤ r} by means of Laplace transform Λ(γ) = Eexp{-γS} under weak assumptions on the behavior of the tail probabilities of Z in the vicinity of zero. The bounds of accuracy are also given, and under weak supplementary smoothness conditions the asymptotic properties of the density of S are investigated.

Original languageEnglish
Pages (from-to)424-442
Number of pages19
JournalAnnals of Probability
Volume25
Issue number1
DOIs
StatePublished - 1 Jan 1997

    Research areas

  • Central limit theorem, Laplace transform, Lower tail probabilities, Small balls, Sums of independent variables

    Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

ID: 43811445