English

Comparison for upper tail probabilities of random series

Probability 2013-02-12 v1

Abstract

Let {ξn}\{\xi_n\} be a sequence of independent and identically distributed random variables. In this paper we study the comparison for two upper tail probabilities P{n=1anξnpr}\mathbb{P}\{\sum_{n=1}^{\infty}a_n|\xi_n|^p\geq r\} and P{n=1bnξnpr}\mathbb{P}\{\sum_{n=1}^{\infty}b_n|\xi_n|^p\geq r\} as rr\rightarrow\infty with two different real series {an}\{a_n\} and {bn}.\{b_n\}. The first result is for Gaussian random variables {ξn},\{\xi_n\}, and in this case these two probabilities are equivalent after suitable scaling. The second result is for more general random variables, thus a weaker form of equivalence (namely, logarithmic level) is proved.

Keywords

Cite

@article{arxiv.1302.2435,
  title  = {Comparison for upper tail probabilities of random series},
  author = {Fuchang Gao and Zhenxia Liu and Xiangfeng Yang},
  journal= {arXiv preprint arXiv:1302.2435},
  year   = {2013}
}

Comments

13 pages

R2 v1 2026-06-21T23:24:02.420Z