Large deviations for infinite weighted sums of stretched exponential random variables
Probability
2020-01-01 v2
Abstract
We study the large deviation probabilities of infinite weighted sums of independent random variables that have stretched exponential tails. This generalizes Kiesel and Stadtm\"uller (2000), who study the same objects under the assumption of finite exponential moments, and Gantert et al.\ (2014), who study finite weighted sums with stretched exponential tails.
Cite
@article{arxiv.1907.07386,
title = {Large deviations for infinite weighted sums of stretched exponential random variables},
author = {Frank Aurzada},
journal= {arXiv preprint arXiv:1907.07386},
year = {2020}
}
Comments
11 pages; main result slightly generalized w.r.t. v1