1 research outputs found
Tail probabilities of St. Petersburg sums, trimmed sums, and their limit
We provide exact asymptotics for the tail probabilities as , for fix , where is the -trimmed
partial sum of i.i.d. St. Petersburg random variables. In particular, we prove
that although the St. Petersburg distribution is only O-subexponential, the
subexponential property almost holds. We also determine the exact tail behavior
of the -trimmed limits.Comment: 24 pages, 2 figure