Measuring the magnitude of sums of independent random variables

1999/09/09 by Pawel Hitczenko, Stephen Montgomery-Smith
Mathematics · #math.PR #math.FA #msc:60G50 #msc:60E15 #msc:46E30 #msc:46B09

paper · pdf

published as Annals of Probability, 29, (2001), 447-466. · Also available at http://math.missouri.edu/~stephen/preprints/

arxiv created 1999/09/09 · arxiv updated 2009/11/30

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 Levy property. We then give a connection between the tail distribution and the pth moment, and between the pth moment and the rearrangement invariant norms.

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