On the distribution of the maxima of partial sums
AbstractLet Xn, N = 1, 2, ..., be independent identically distributed random variables with common distribution function F and let S0 = 0, Sn = [summation operator]k = 1n Xk, N = 1, 2,.... We show that in a wide range of cases the distribution of Mn = max0 [less-than-or-equals, slant] k [less-than-or-equals, slant] n Sk inherits the asymptotic properties of F.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 28 (1996)
Issue (Month): 3 (July)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Zhu, Chun-hua & Gao, Qi-bing, 2008. "The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2552-2558, October.
- Yang, Yang & Leipus, Remigijus & Šiaulys, Jonas, 2014. "Closure property and maximum of randomly weighted sums with heavy-tailed increments," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 162-170.
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