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.

Язык оригиналаанглийский
Страницы (с-по)424-442
Число страниц19
ЖурналAnnals of Probability
Том25
Номер выпуска1
DOI
СостояниеОпубликовано - 1 янв 1997

    Предметные области Scopus

  • Теория вероятности и статистика
  • Статистика, теория вероятности и теория неопределенности

ID: 43811445