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Lower limits and upper limits for tails of random sums supported on RI
Changjun Yu, Yuebao Wang ∗ , Zhaolei Cui
Department of Mathematics, Soochow University, Suzhou 215006, PR China
Keywords:
Lower limits
Upper limits
Random sums
Local distribution
Density
1. Introduction
Throughout this paper, let X1 , X2 , . . . be independent, identically distributed random variables (r.v.s) with common
distribution F supported on D = R+ := [0, ∞) or R := (−∞, ∞). Thus F (x) := F (x, ∞) > 0 for all x. Let S0 = 0
and Sn = X1 + · · · + Xn , n ≥ 1. Let τ be a non-negative integer-valued r.v. with masses pn = P (τ = n), n ≥ 0, which is
independent of {Xn }n≥1 . We assume that there exists an integer
P∞ n ≥∗n2 such that pn > 0. Denote by F ∗τ the distribution of the
random sum Sτ = X1 + · · · + Xτ . It is obvious that F ∗τ = n=0 pn F , where F ∗1
= F and F ∗0 is the distribution degenerated
F ∗τ (x)
at zero. We are interested in the limit points of the quotients of tails as x → ∞. In order to better illuminate existing
F (x)
results and our motivation, we first introduce some notions and notation which will be valid in the rest of this paper.
If the support of F is D = R, then define q = F [0, ∞) and F + (dx) = (1 − q)F ∗0 (dx) + F (dx)1(x≥0) , where 1A is the
indicator function of the event A. Denote the Laplace transform of F at the point α ∈ R by
Z ∞
F (α) =
b eα y F (dy) ∈ (0, ∞].
−∞
If 0 < b
F (α) < ∞, then let
Z x
Fα (x) = (b
F (α))−1 eα y F (dy), x∈R
−∞
0167-7152/$ – see front matter © 2010 Elsevier B.V. All rights reserved.
doi:10.1016/j.spl.2010.03.005
1112 C. Yu et al. / Statistics and Probability Letters 80 (2010) 1111–1120
F (0) = 1 and b
It is well known that for any distribution F , b F (α) is continuous in the interval [0, γ ). If γ = 0, then we say that
the distribution F is heavy-tailed, and in this case, bF (δ) = ∞ for any δ > 0. If γ > 0, then we say that the distribution F is
light-tailed. We say that a r.v. X is heavy-tailed or light-tailed, if its distribution is heavy-tailed or light-tailed, respectively.
Using probability generating functions techniques, Rudin (1973) investigated the lower limits of the quotients of tails
F ∗τ (x)
as x → ∞, and obtained the following result.
F (x)
Theorem 1.A. Let F be a distribution supported on R+ . Suppose that there exists a positive integer p such that EX p = ∞ but
E τ p < ∞, then
F ∗τ (x)
lim inf = Eτ . (1.2)
x→∞ F (x)
In above theorem, the condition that EX p = ∞ excludes a lot of interesting heavy-tailed distributions, for example, log-
normal and Weibull-type distributions. In the case that τ = 2, Foss and Korshunov (2007) gave the following general result
for heavy-tailed distributions.
F ∗2 ( x )
lim inf = 2. (1.3)
x→∞ F (x)
Based on Theorem 1.B, Foss and Korshunov (2007) also gave the corresponding result for light-tailed distributions.
F (x − y)
lim inf ≥ eγ y , (1.4)
x→∞ F (x)
then
F ∗2 ( x )
lim inf F (γ ).
= 2b (1.5)
x→∞ F (x)
Employing Theorem 1.B and the Esscher transform, Foss and Korshunov (2007) obtained the following result which gave
a positive answer to a conjecture expected by Embrechts and Goldie (1982).
F ∗2 (x)
lim = c,
x→∞ F (x)
Theorem 1.E. Let F be a distribution supported on R+ . If there exists p ∈ R+ such that EX p = ∞ but E τ p < ∞, then (1.2) holds.
Theorem 1.F. If F is a heavy-tailed distribution supported on R+ and τ is a light-tailed r.v., then (1.2) holds.
F ∗τ (x)
lim = c, (1.7)
x→∞ F (x)
F (γ ))τ −1 .
where c ∈ (0, ∞], then c = E τ (b
C. Yu et al. / Statistics and Probability Letters 80 (2010) 1111–1120 1113
For the case that F is supported on R+ , this result gives a positive answer under the condition (1.6) to the following problem,
which was put forward by Watanabe (2008).
Problem 1.1 (Problem 2 of Watanabe (2008)). Let τ be a positive integer-valued r.v. and F be a distribution supported on R.
If (1.7) holds for some c ∈ (0, ∞), then is it true that γ < ∞, b F (γ ))τ −1 ?
F (γ ) < ∞ and c = E τ (b
We observe that all the above results are established for F supported on D = R+ . Thus a problem arises, when D = R,
whether the above results remain valid. This paper will give some corresponding results for distributions supported on
D = R.
F ∗τ (x)
lim sup ≥ Eτ . (1.8)
x→∞ F (x)
Assume, in addition, that either τ is light-tailed or there exists p ∈ [1, ∞) such that
then
F ∗τ (x)
lim inf ≤ Eτ . (1.10)
x→∞ F ( x)
From Remark 5.1 below, we find that, there exists a heavy-tailed distribution F supported on R such that
F ∗2 (x)
lim inf < 2, (1.11)
x→∞ F (x)
which shows that Theorem 1.B cannot be extended to the case that D = R without additional assumptions.
F ∗τ (x)
lim sup F (γ ))τ −1 .
≥ E τ (b (1.12)
x→∞ F (x)
Assume, in addition, that for some ε > 0,
F (γ ) + ε) ∨ 1)τ < ∞,
E ((b (1.13)
then
F ∗τ (x)
lim inf F (γ ))τ −1 .
≤ E τ (b (1.14)
x→∞ F ( x)
By Theorems 1.1 and 1.2, we can immediately get the following result for random sums.
Theorem 1.3. Let F be a distribution supported on R. If (1.7) holds for some c ∈ (0, ∞), then γ < ∞, b F (γ ) < ∞ and c ≥
F (γ ))τ −1 . Assume, in addition, that either (1.9) or (1.13) holds, then c = E τ (b
E τ (b F (γ ))τ −1 .
It is clear that Theorem 1.3 gives a positive answer to Problem 1.1 under certain conditions. A natural problem is whether
these conditions are necessary. In Remark 5.2 below, we will give an example that (1.7) holds with c > E τ , thus showing
that Theorem 1.3 is not valid without extra assumptions such as (1.9) and (1.13). See Remark 5.2 below.
This paper is organized as follows. In Section 2, we will prove Theorems 1.1–1.3. In Sections 3 and 4, we will give the
local versions and density versions for Theorems 1.1–1.3, respectively. And in Section 5, some remarks will be presented.
2. Proofs of theorems
To prove the above results, we will need the following two lemmas. The following Lemma 2.1 is due to Denisov et al.
(2008). They established this lemma for D = R+ . In fact, this conclusion still remains valid for D = R, whose proof is the
same as that for D = R+ . So, we omit the proof of this lemma.
1114 C. Yu et al. / Statistics and Probability Letters 80 (2010) 1111–1120
F ∗τ (x) F ∗v (x)
lim sup F (α))τ −1 lim sup α
≥ E (b
x→∞ F (x) x→∞ Fα (x)
and
F ∗τ (x) Fα∗v (x)
lim inf F (α))τ −1 lim inf
≤ E (b .
x→∞ F (x) x→∞ Fα (x)
The following lemma plays an important role in the proofs of our results.
Lemma 2.2. For any heavy-tailed distribution F on R, there exist two increasing sequences xn ↑ ∞ and tn ↑ ∞ as n → ∞, such
that limn→∞ xtn = 0 and
n
F (xn − t )
lim =1 (2.1)
n→∞ F (xn )
uniformly for any t ∈ [−tn , tn ].
Note that this lemma reveals an important property of heavy-tailed distributions. We might as well say that F is sublong-
tailed if F satisfies (2.1). Lemma 2.2 shows that all heavy-tailed distributions are sublong-tailed. However, there exist some
light-tailed distributions which are sublong-tailed, and we will give an example in Remark 5.3 of this paper. In the proof of
Lemma 5 of Foss and Korshunov (2007), this result was proved for heavy-tailed distributions supported on R+ with finite
expectations.
Proof of Lemma 2.2. Obviously when x ≥ 0, F + (x) = F (x), where F + is defined as in Section 1. Hence we only need to
prove this lemma for heavy-tailed distributions supported on R+ .
Assume that F is supported on R+ , by Theorem 1.B, we know that (1.3) holds. For any 0 < t < x, by the standard method,
we have
t Z x
Z
F ∗2 (x) = F (x) + + F (x − y)F (dy)
0 t
F ∗2 (yn )
lim = 2.
n→∞ F (yn )
Combining (2.2), we have
F (yn − t )
lim = 1.
n→∞ F (yn )
A similar argument to that in Foss and Korshunov (2007) (P373,4) shows that there exists a sequence un ↑ ∞ as n → ∞,
such that
F (yn − un )
lim = 1. (2.3)
n→∞ F (yn )
Taking tn = un
2
and xn = yn − tn in (2.3), and applying the monotonicity of F (x), we have
F (xn + t )
lim =1
n→∞ F (xn )
uniformly for t ∈ [−tn , tn ].
C. Yu et al. / Statistics and Probability Letters 80 (2010) 1111–1120 1115
From now on, denote q = F [0, ∞) and define ρ(dx) := q−1 1[0,∞) (x)F (dx) and σ (dx) := (1 − q)−1 1(−∞,0) (x)F (dx) for
q < 1 and σ := 0 for q = 1. Thus F = qρ + (1 − q)σ .
Proof of Theorem 1.1. We first prove (1.8). For any positive integer n and x > 0,
n
X
F ∗n (x) = Cnk qk (1 − q)n−k ρ ∗k ∗ σ ∗(n−k) (x). (2.4)
k=1
ρ ∗k ∗ σ ∗(n−k) (xm ) ρ ( xm − y )
Z 0 ∗k
lim inf ≥ lim inf 1(−tm ,0) (y)σ ∗(n−k) (dy)
m→∞ ρ(xm ) m→∞ −∞ ρ(xm )
ρ ∗k ( x m − y )
Z 0
≥ lim inf 1(−tm ,0) (y)σ ∗(n−k) (dy)
−∞ m →∞ ρ(xm )
ρ(xm − y)
Z 0
≥ k lim 1(−tm ,0) (y)σ ∗(n−k) (dy)
−∞ m→∞ ρ(xm )
= k. (2.5)
When k = n, it is obvious that
ρ ∗n ( x m )
lim inf ≥ n. (2.6)
m→∞ ρ(xm )
Combining (2.4)–(2.6), we have
F ∗n (xm )
n
X ρ ∗k ∗ σ ∗(n−k) (xm )
lim inf ≥ Cnk qk (1 − q)n−k lim inf
m→∞ F (xm ) k=1
m→∞ F ( xm )
≥ n. (2.7)
Hence by Fatou’s lemma and (2.7), we have
F ∗τ (x) F ∗τ (xm )
lim sup ≥ lim inf
x→∞ F (x) m→∞ F (xm )
F ∗k (xm )
∞
X
≥ pk lim inf
k=1
m→∞ F (xm )
∞
X
≥ kpk = E τ .
k=1
(b
F (γ ))k P (τ = k)
P (v = k) = , k ≥ 0.
F (γ ))τ
E (b
Note that Fγ is heavy-tailed, hence by Lemma 2.1 and Theorem 1.1, we have
F (γ ))τ = ∞. Observe that in this case, the right-hand side of (1.12) is infinity. Choose α < γ and
F (γ ) < ∞ and E (b
Case 2. b
(b
F (α))k P (τ =k)
assume that the r.v.v has the distribution P (v = k) = ,k ≥ 0. By Lemma 2.1, we have
F (α))τ
E (b
F (α))−1 0 eα y F (dy). It is easy to check that Fα (0) is increasing for α ∈ [0, γ ), hence we have Fα (0) ≥ q.
R∞
Note that Fα (0) = (b
So the right-hand side of (2.8) tends to infinity as α ↑ γ . Thus we immediately get (1.12).
F (γ ) = ∞. The proof is similar to that of Case 2, so we omit it.
Case 3. b
Now we only need to prove (1.14) in the case that b F (γ ) < ∞. Assume that the r.v.v has the distribution P (v = k) =
(b
F (γ ))k P (τ =k)
F (γ ))τ
E (b
,k ≥ 0. For β = log(b
F (γ ) + ε) − log b
F (γ ) > 0,
∞
Eeβv =
X
p(v = k)(1 + ε(b
F (γ ))−1 )k
k=1
P (τ = k)(b F (γ ) + ε)k
X∞
= < ∞.
k=1 F (γ ))τ
E (b
F ∗τ (x) Fγ ∗v (x)
lim inf F (γ ))τ −1 lim inf
≤ E (b
x→∞ F (x) x→∞ Fγ (x)
τ −1
≤ E (b
F (γ )) Ev
F (γ ))τ −1 .
= E τ (b
This completes the proof of Theorem 1.2.
F ∗τ (x)
c = lim sup ≥ ∞,
x→∞ F (x)
which contradicts the finiteness of the number c, thus we have γ < ∞ and b
F (γ ) < ∞. So we can apply Theorems 1.1 and
1.2. Note that (1.8) and (1.12) hold for any τ , hence we have,
F ∗τ (x)
c = lim sup F (γ ))τ −1 .
≥ E τ (b (2.9)
x→∞ F (x)
Now we deal with the second assertion. By the second assertions of Theorems 1.1 and 1.2, we have
F ∗τ (x)
c = lim inf F (γ ))τ −1 .
≤ E τ (b
x→∞ F (x)
F (γ ))τ −1 .
Combining (2.9), we immediately get c = E τ (b
3. Local versions
In this section, we will present some local versions of Theorems 1.1–1.3. For any 0 < T < ∞, let ∆ = (0, T ] and
x + ∆ = (x, x + T ]. For T = ∞, we define ∆ = (0, ∞) and x + ∆ = (x, ∞). Under the assumption that F (x + ∆) > 0 for
F ∗τ (x+∆)
sufficiently large x, we also study the lower limits and the upper limits of the quotients F (x+∆) as x → ∞.
Theorem 3.1. If F is a heavy-tailed distribution supported on R and E τ ∈ (0, ∞], then for any 0 < T < ∞ such that F (x + ∆)
is eventually larger than 0,
F ∗τ (x + ∆)
lim sup ≥ Eτ . (3.1)
x→∞ F ( x + ∆)
C. Yu et al. / Statistics and Probability Letters 80 (2010) 1111–1120 1117
F ∗τ (x + ∆)
lim inf ≤ Eτ . (3.2)
x→∞ F ( x + ∆)
Proof. We first prove (3.1). By Theorem 1.1, we have that (1.8) holds. Now we assume that (3.1) does not hold, i.e., there
exist a finite constant C < E τ and sufficiently large x0 > 0 such that when x ≥ x0 ,
Thus we have
∞
X
F ∗τ (x) = F ∗τ (x + kT + ∆)
k=0
∞
X
≤ CF (x + kT + ∆)
k=0
= C F (x),
which contradicts (1.8). This shows that (3.1) holds. The proof of (3.2) is similar to that of (3.1), so we omit the details.
By a similar argument, we can obtain the following result for the light-tailed distributions. Since the proof is quite similar
to that of Theorem 3.1, so we omit it.
F ∗τ (x + ∆)
lim sup F (γ ))τ −1 .
≥ E τ (b (3.4)
x→∞ F (x + ∆)
F ∗τ (x + ∆)
lim inf F (γ ))τ −1 .
≤ E τ (b (3.5)
x→∞ F ( x + ∆)
By Theorems 3.1 and 3.2, we can immediately get the following result for the random sums. The proof is easy and similar
to that of Theorem 1.3, so we omit it.
Theorem 3.3. Let F be a distribution supported on R. Assume further that F (x + ∆) is eventually larger than 0 for some T > 0. If
F ∗τ (x + ∆)
lim =c (3.6)
x→∞ F (x + ∆)
for some c ∈ (0, ∞), then γ < ∞, b F (γ ))τ −1 . Assume, in addition, that either (1.9) or (1.13) holds, then
F (γ ) < ∞ and c ≥ E τ (b
τ −1
c = E τ (F (γ ))
b .
4. Density versions
In this section, we assume that the distribution F has a density f . Furthermore, we assume that f (x) > 0 for sufficiently
large x. We will give some density versions of Theorems 1.1–1.3. To this end, we firstly introduce some notions and notation.
For a non-negative function f (x) supported on R, define f ⊗(n+1) (x) = −∞ f (x − y)f ⊗n (y)dy for n ≥ 1, where f ⊗1 = f .
R∞
We make the convention that f ⊗0 = 0. It is obvious that the density of F ∗τ (x) is equal to f ⊗τ (x) = pn f ⊗n (x) for x ∈ R.
P∞
n=1
Denote the Laplace transform of f at α ∈ R by
Z ∞
f (α) =
b f (y)eα y dy.
−∞
f ⊗τ (x)
lim sup ≥ Eτ . (4.1)
x→∞ f (x)
Assume, in addition, that either τ is light-tailed or there exists p ∈ R+ such that
Z ∞
xp f (x)dx = ∞ and E τ p < ∞, (4.2)
0
then
f ⊗τ (x)
lim inf ≤ Eτ . (4.3)
x→∞ f (x)
Proof. Since the proofs of (4.1) and (4.3) are similar, we will just prove (4.1). By Theorem 1.1, we can get (1.8). Now we
assume that (4.1) does not hold, i.e., there exist a finite constant C < E τ and a sufficiently large x0 > 0 such that when
x ≥ x0 ,
Hence, when x ≥ x0 ,
Z ∞
F ∗τ (x) = f ⊗τ (y)dy
Zx ∞
≤ Cf (y)dy
x
= C F (x),
which contradicts (1.8). So (4.1) holds.
f (γ ) + ε) ∨ 1)τ < ∞,
E ((b (4.4)
then
f ⊗τ (x)
lim inf F (γ ))τ −1 .
≤ E τ (b
x→∞ f ( x)
The proof of Theorem 4.2 is analogous to that of Theorem 4.1, so we omit it. Moreover, Theorems 4.1 and 4.2 imply the next
result (Theorem 4.3) whose simple proof is omitted.
f ⊗τ (x)
lim = c ∈ (0, ∞), (4.5)
x→∞ f (x)
then γ < ∞, b f (γ ))τ −1 . Assume, in addition, that either (4.2) or (4.4) holds, then c = E τ (b
f (γ ) < ∞ and c ≥ E τ (b f (γ ))τ −1 .
5. Remarks
In this section, we will give some remarks about the results and conditions in the above theorems.
Remark 5.1. We point out that (1.3) does not hold for two-sided heavy-tailed distributions without additional assumptions.
To illustrate this point, we will present an example. This example is mainly based on a counterexample which was put
forward by Foss and Korshunov (2007).
C. Yu et al. / Statistics and Probability Letters 80 (2010) 1111–1120 1119
Let xn = 2n+1 − 1 for n ≥ 0. Assume that X is a discrete r.v. with masses pn = P (X = xn ), n ≥ 0 and let ρ be its
distribution. Foss and Korshunov (2007, page 381, line 4 from the bottom) proved that,
ρ ∗2 (xn − 1)
lim = 2. (5.1)
n→∞ ρ(xn − 1)
F ∗2 (xn − 1) δ
lim inf ≤ 2q + 2(1 − q) 1 − < 2.
n→∞ F (xn − 1) 2
Thus (1.11) holds.
Remark 5.2. There are heavy-tailed distributions satisfying (1.7) with c > E τ , thus it shows that Theorem 1.3 is not valid
without additional assumptions such as (1.9) or (1.13), see Lemma 5.A below.
In order to illuminate this problem, we first introduce the notion of regularly varying distributions. Say that F ∈ R−α if
the tail F is regularly varying with index α , i.e.,
F (xy)
lim = y−α
x→∞ F (x)
holds for any fixed positive number y (see Chap. 1 in Bingham et al. (1987)).
Lemma 4.7 of Faÿ et al. (2006) gave the following result.
Lemma 5.A. Let F be a distribution on R+ . Suppose that F ∈ R−α for some α ≥ 1 with a finite expectation µ. Let τ be a
Fτ (x)
non-negative integer-valued r.v. and Fτ be the distribution of τ . If limx→∞ = C ∈ (0, ∞), then
F (x)
F ∗τ (x)
lim = E τ + C µα > E τ .
x→∞ F (x)
This result also shows that (1.10) does not hold without additional conditions.
Remark 5.4. Recently, many papers are devoted to the studies of the asymptotics of the random sums. In addition to the
papers mentioned in Section 1, Pakes (2004) studied the global asymptotics of the random sums, Wang et al. (2007) obtained
the global and local asymptotics of the random sums, the asymptotics of the density of the random sums are investigated by
Wang and Wang (2009), and Yu et al. (2010) got the global and local asymptotics of the random sums and the asymptotics
of the density of the random sums. However, the above papers assumed that the distribution of the summands belongs to
certain distribution classes. While this paper does not need this assumption. And the result of this paper is helpful in giving
better characterization of these classes. For example, similarly to the definition of the convolution equivalent distribution
class (see Watanabe (2008) and its references therein), we can rewrite the definition of the so-called local subexponential
distribution class S∆ as follows. For some T > 0, say F ∈ S∆ if F (x + ∆) is eventually larger than 0,
F (x − t + ∆) ∼ F (x + ∆) uniformly for t ∈ [0, 1]
and
F ∗2 (x + ∆) ∼ cF (x + ∆).
By Theorem 3.3, we have c = 2. Such a definition is sightly different from that of Asmussen et al. (2003).
Acknowledgements
The authors would like to express their deep gratitude to the referee and editor for their constructive comments on
the previous version of this paper. This work was supported by the National Science Foundation of China (grant number
10671139).
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