Open Access
October, 1991 Strong Limit Theorems of Empirical Functionals for Large Exceedances of Partial Sums of I.I.D. Variables
Amir Dembo, Samuel Karlin
Ann. Probab. 19(4): 1737-1755 (October, 1991). DOI: 10.1214/aop/1176990232
Abstract

Let $(X_i,U_i)$ be pairs of i.i.d. bounded real-valued random variables ($X_i$ and $U_i$ are generally mutually dependent). Assume $E\lbrack X_i\rbrack < 0$ and $\Pr\{X_i > 0\} > 0$. For the (rare) partial sum segments where $\sum^l_{i=k}X_i \rightarrow \infty$, strong limit laws are derived for the sums $\sum^l_{i=k}U_i$. In particular a strong law for the length $(l - k + 1)$ and the empirical distribution of $U_i$ in the event of large segmental sums of $\sum X_i$ are obtained. Applications are given in characterizing the composition of high scoring segments in letter sequences and for evaluating statistical hypotheses of sudden change points in engineering systems.

Dembo and Karlin: Strong Limit Theorems of Empirical Functionals for Large Exceedances of Partial Sums of I.I.D. Variables
Copyright © 1991 Institute of Mathematical Statistics
Amir Dembo and Samuel Karlin "Strong Limit Theorems of Empirical Functionals for Large Exceedances of Partial Sums of I.I.D. Variables," The Annals of Probability 19(4), 1737-1755, (October, 1991). https://doi.org/10.1214/aop/1176990232
Published: October, 1991
Vol.19 • No. 4 • October, 1991
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