Sums of Independent Random Variables

Yuan Shih Chow and Henry Teicher
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Yuan Shih Chow: Columbia University, Department of Mathematics and Statistics
Henry Teicher: Rutgers University, Department of Statistics

Chapter 5 in Probability Theory, 1978, pp 110-155 from Springer

Abstract: Abstract Of paramount concern in probability theory is the behavior of sums {S n, n≥ 1} of independent random variables {X i , i ≥ 1}. The case where the {X i } are i.i.d. is of especial interest and frequently lends itself to more incisive results. The sequence of sums {S n, n ≥ 1} of i.i.d. r.v.s {X n }is alluded to as a random walk; in the particular case when the component r.v.s {X n } are nonnegative, the random walk is referred to as a renewal process.

Keywords: Random Walk; Independent Random Variable; Stopping Time; Equivalent Sequence; Stochastic Sequence (search for similar items in EconPapers)
Date: 1978
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DOI: 10.1007/978-1-4684-0062-5_5

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