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The limit law of maximum of discrete partial-sums distribution

  • Andrius Grigutis,
  • Artur Nakliuda

摘要

Let X1,X2, . . .,XN, N \({\mathbb{N}}\) N , be independent but not necessarily identically distributed discrete and integervalued random variables. Assume that X1m1, X2m2, . . . , XNmN almost surely, where m1,m2, . . . , mN are some integer numbers such that m1 + m2 + ⋯ +mN < 0, and Xk \(\overset{d}{=}\) = d Xk+N for all k \({\mathbb{N}}\) N in the sequence X1,X2, . . . . In this paper, we make use of some known results to provide a closed-form expression of the limit distribution function P(max{X1, X1+X2, . . .} ⩽ x) = P(X1x, X1 + X2x, . . .), x \({\mathbb{Z}}\) Z , via (a) inclusion–exclusion principle-based sum-product of the roots of GN(s) = 1, where GN(s) is the probability generating function of SN = X1+X2+ ⋯ +XN, (b) the probability mass function of SN, and (c) the expectation ESN.