A supplement to the large deviations of infinite weighted sums of heavy tailed random variables

Jianan Shi, Zhenhong Yu and Yu Miao

Statistics & Probability Letters, 2025, vol. 217, issue C

Abstract: Let {X,Xn,n≥1} be a sequence of independent and identically distributed non-negative random variables with heavy tails and {ai(n),i≥1,n≥1} be an array of non-negative numbers. In the present paper, we study the large deviation of infinite weighted sums ∑i=1∞ai(n)Xi, which is a supplement of Aurzada (2020).

Keywords: Independent identically distributed random variables; Large deviations; Heavy tails; Weighted sums (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.spl.2024.110306

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