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A note on the asymptotics of the maxima for the St. Petersburg game

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  • Nakata, Toshio

Abstract

In this note, we consider the maxima of payoffs for the generalized St. Petersburg game. The maxima for the original St. Petersburg game cannot be normalized to converge to a nondegenerate limit distribution. However, tuning the parameters appearing in the generalization, we show the normalized maxima converge to the Fréchet distribution.

Suggested Citation

  • Nakata, Toshio, 2017. "A note on the asymptotics of the maxima for the St. Petersburg game," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 284-287.
    • Handle: RePEc:eee:stapro:v:129:y:2017:i:c:p:284-287
    DOI: 10.1016/j.spl.2017.06.010
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    References listed on IDEAS

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    1. Nakata, Toshio, 2015. "Limit distributions of generalized St. Petersburg games," Statistics & Probability Letters, Elsevier, vol. 96(C), pages 307-314.
    2. Berkes, István & Csáki, Endre & Csörgo, Sándor, 1999. "Almost sure limit theorems for the St. Petersburg game," Statistics & Probability Letters, Elsevier, vol. 45(1), pages 23-30, October.
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