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2016 Local limit theorems and renewal theory with no moments
Kenneth S. Alexander, Quentin Berger
Electron. J. Probab. 21: 1-18 (2016). DOI: 10.1214/16-EJP13

Abstract

We study i.i.d. sums $\tau _k$ of nonnegative variables with index $0$: this means ${\mathbf P}(\tau _1=n) = {\varphi }(n) n^{-1}$, with ${\varphi }(\cdot )$ slowly varying, so that ${\mathbf E}(\tau _1^{\epsilon })=\infty $ for all ${\epsilon }>0$. We prove a local limit and local (upward) large deviation theorem, giving the asymptotics of ${\mathbf P}(\tau _k=n)$ when $n$ is at least the typical length of $\tau _k$. A recent renewal theorem in [22] is an immediate consequence: ${\mathbf P}(n\in \tau ) \sim{\mathbf P} (\tau _1=n)/{\mathbf P}(\tau _1 > n)^2$ as $n\to \infty $. If instead we only assume regular variation of ${\mathbf P}(n\in \tau )$ and slow variation of $U_n:= \sum _{k=0}^n {\mathbf P}(k\in \tau )$, we obtain a similar equivalence but with ${\mathbf P}(\tau _1=n)$ replaced by its average over a short interval. We give an application to the local asymptotics of the distribution of the first intersection of two independent renewals. We further derive downward moderate and large deviations estimates, that is, the asymptotics of ${\mathbf P}(\tau _k \leq n)$ when $n$ is much smaller than the typical length of $\tau _k$.

Citation

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Kenneth S. Alexander. Quentin Berger. "Local limit theorems and renewal theory with no moments." Electron. J. Probab. 21 1 - 18, 2016. https://doi.org/10.1214/16-EJP13

Information

Received: 31 March 2016; Accepted: 6 November 2016; Published: 2016
First available in Project Euclid: 26 November 2016

zbMATH: 1354.60107
MathSciNet: MR3580032
Digital Object Identifier: 10.1214/16-EJP13

Subjects:
Primary: 60F10, 60G50, 60K05

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Vol.21 • 2016
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