×

On the lower tail probabilities of some random series. (English) Zbl 0873.60012

Summary: The behavior of tail probabilities \({\mathbf P}\{S\leq r\}\), \(r\to 0\), is investigated, where \(S\) is a series \(S=\sum \lambda_j Z_j\) generated by some sequence of positive numbers \(\{\lambda_j\}\) and by a sequence \(\{Z_j\}\) of independent copies of a positive random variable \(Z\). We present the exact asymptotic expression for \({\mathbf P}\{S\leq r\}\) by means of Laplace transform \(\Lambda(\gamma)={\mathbf E}\exp\{-\gamma S\}\) under weak assumptions on the behavior of the tail probabilities of \(Z\) in the vicinity of zero. The bounds of accuracy are also given, and under weak supplementary smoothness conditions the asymptotic properties of the density of \(S\) are investigated.

MSC:

60F10 Large deviations
60G15 Gaussian processes
Full Text: DOI

References:

[1] ALBIN, P. 1994. Minima of H-valued Gaussian processes. Unpublished manuscript. · Zbl 0870.60046
[2] ARAK, T. V. and ZAITSEV, A. YU. 1988. Uniform limit theorems for sums of independent random variables. Proc. Steklov Inst. Math. 174 1 220. · Zbl 0659.60070
[3] DAVIS, R. and RESNICK, S. 1991. Extremes of moving averages of random variables with finite endpoint. Ann. Probab. 19 312 328. · Zbl 0726.60038 · doi:10.1214/aop/1176990546
[4] DEMBO, A., MAYER-WOLF, E. and ZEITUNI, O. 1995. Exact behavior of Gaussian seminorms. Probab. Statist. Letters 23 275 280. · Zbl 0830.60030 · doi:10.1016/0167-7152(94)00125-R
[5] IBRAGIMOV, I. A. 1982. On the probability that a Gaussian vector with values in a Hilbert space hits a sphere of small radius. Journal of Soviet Mathematics 20 2164 2174. · Zbl 0489.60043 · doi:10.1007/BF01239993
[6] KUELBS, J. and LI, W. V. 1993. Metric entropy and the small ball problem for Gaussian measures. J. Funct. Anal. 116 133 157. · Zbl 0799.46053 · doi:10.1006/jfan.1993.1107
[7] KUELBS, J., LI, W. V. and LINDE, W. 1994. The Gaussian measure of shifted balls. Probab. Theory Related Fields 98 143 162. · Zbl 0792.60004 · doi:10.1007/BF01192511
[8] LI, W. V. 1992. On the lower tail of Gaussian measures. In Probability in Banach Spaces 8 106 117. Birkhauser, Boston. \" · Zbl 0787.60005
[9] LI, W. V. and LINDE, W. 1993. Small ball problems for non-centered Gaussian measures. Probability and Mathematical Statistics 14 231 251. · Zbl 0834.60008
[10] LIFSHITS, M. A. 1994. Investigation of tail behavior of Gaussian suprema by means of Laplace transform. Ann. Inst. H. Poincare 30 163 179. \' · Zbl 0796.60029
[11] SYTAYA, G. N. 1974. On some asymptotic representation of the Gaussian measure in a Hilbert space. Theory of Stochastic Processes 2 94 104.
[12] TITCHMARSCH, E. C. 1948. Introduction to the Theory of Fourier Integrals. Oxford Univ. Press.
[13] ZAITSEV, A. YU. 1987. Estimates of the Levy Prokhorov distance in the multivariate central limit theorem for random variables with finite exponential moments. Theory Probab. Appl. 31 203 220. · Zbl 0659.60042 · doi:10.1137/1131028
[14] ZAITSEV, A. YU. 1987. On the Gaussian approximation of convolutions under multidimensional analogues of S. N. Bernstein’s inequality conditions. Probab. Theory Related Fields 74 535 566. · Zbl 0612.60031 · doi:10.1007/BF00363515
[15] ZOLOTAREV, V. M. 1986. Asymptotic behavior of the Gaussian measure in l. Journal of 2 Soviet Mathematics 24 2330 2334.
[16] ZOLOTAREV, V. M. 1979. Gaussian measure asymptotic in l on a set of centered sphere p with radii tending to zero. Proceedings Twelfth European Meeting of Statisticians, Varna 254.
[17] KOMENDANTSKII PROSPECT, 22-2-49 ST. PETERSBURG 197372 RUSSIA E-MAIL: mikhail@lifshits.spb.su
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.