A short note on small deviations of sequences of i.i.d. random variables with exponentially decreasing weights

We obtain some new results concerning the small deviation problem for S=[summation operator]nqnXn and M=supnqnXn, where 0<q<1 and (Xn) are i.i.d.Â non-negative random variables. In particular, the asymptotics is shown to be the same for S and M in some cases.

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Year of publication:	2008
Authors:	Aurzada, Frank
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 15, p. 2300-2307
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005313789