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Maxima of increments of partial sums for certain subexponential distributions

We consider partial sums of i.i.d. random variables with moments E(X1)=0, E(X12)=[sigma]2 and and show thatwith some explicit function [phi](·). A related result for random variables with exponentially thin tails has recently been shown by Steinebach, extending a result given by Shao.
Year of publication:
2000
Authors: Lanzinger, H. ; Stadtmüller, U.
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 86.2000, 2, p. 307-322
Publisher: Elsevier
Keywords: Partial sums Independent random variables Maxima of increments Limit theorem Subexponential distributions a.s. convergence
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008875389
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