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February 2001 Measuring the magnitude of sums of independent random variables
Paweł Hitczenko, Stephen Montgomery-Smith
Ann. Probab. 29(1): 447-466 (February 2001). DOI: 10.1214/aop/1008956339

Abstract

This paper considers how to measure the magnitude of the sum of independent random variables in several ways. We give a formula for the tail distribution for sequences that satisfy the so called Lévy property. We then give a connection between the tail distribution and the pth moment, and between the pth moment and the rearrangement invariant norms.

Citation

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Paweł Hitczenko. Stephen Montgomery-Smith. "Measuring the magnitude of sums of independent random variables." Ann. Probab. 29 (1) 447 - 466, February 2001. https://doi.org/10.1214/aop/1008956339

Information

Published: February 2001
First available in Project Euclid: 21 December 2001

zbMATH: 1019.60040
MathSciNet: MR1825159
Digital Object Identifier: 10.1214/aop/1008956339

Subjects:
Primary: 46E30, 60E15, 60G50
Secondary: 46B09

Rights: Copyright © 2001 Institute of Mathematical Statistics

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Vol.29 • No. 1 • February 2001
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