The term moderate deviations is often used in the literature to mean a class of large deviation principles that, in some sense, fills the gap between a convergence in probability of some random variables to a constant, and a weak convergence to a centered Gaussian distribution (when such random variables are properly centered and rescaled). We talk about noncentral moderate deviations when the weak convergence is towards a non-Gaussian distribution. In this paper we prove a noncentral moderate deviation result for the bivariate sequence of sums and maxima of independent and identically distributed random variables bounded from above. We also prove a result where the random variables are not bounded from above, and the maxima are suitably normalized. Finally, we prove a moderate deviation result for sums of partial minima of independent and identically distributed exponential random variables.

Giuliano, R., Macci, C., Pacchiarotti, B. (2024). Asymptotic results for sums and extremes. JOURNAL OF APPLIED PROBABILITY, 61(4), 1153-1171 [10.1017/jpr.2023.118].

Asymptotic results for sums and extremes

Macci C.;Pacchiarotti B.
2024-01-01

Abstract

The term moderate deviations is often used in the literature to mean a class of large deviation principles that, in some sense, fills the gap between a convergence in probability of some random variables to a constant, and a weak convergence to a centered Gaussian distribution (when such random variables are properly centered and rescaled). We talk about noncentral moderate deviations when the weak convergence is towards a non-Gaussian distribution. In this paper we prove a noncentral moderate deviation result for the bivariate sequence of sums and maxima of independent and identically distributed random variables bounded from above. We also prove a result where the random variables are not bounded from above, and the maxima are suitably normalized. Finally, we prove a moderate deviation result for sums of partial minima of independent and identically distributed exponential random variables.
2024
Pubblicato
Rilevanza internazionale
Articolo
Esperti anonimi
Settore MATH-03/B - Probabilità e statistica matematica
English
Con Impact Factor ISI
Central limit theorem, Fisher–Tippett–Gnedenko theorem, joint distribution of sum and maxima, large deviations, moderate deviations, sums of partial minima
Giuliano, R., Macci, C., Pacchiarotti, B. (2024). Asymptotic results for sums and extremes. JOURNAL OF APPLIED PROBABILITY, 61(4), 1153-1171 [10.1017/jpr.2023.118].
Giuliano, R; Macci, C; Pacchiarotti, B
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/389687
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