Tails of polynomials of random variables and stable limits for nonconventional sums

preprint2015arXivOpen access

Abstract

We obtain first decay rates of probabilities of tails of multivariate polynomials built on independent random variables with heavy tails. Then we derive stable limit theorems for nonconventional sums of the form ∑Nt≥n≥1F(X(q1(n)),...,X(qℓ(n)))\sum_{Nt\geq n\geq 1}F(X(q_1(n)),...,X(q_\ell(n))) where FF is a polynomial, 1≤q1(n)<⋯<qℓ(n)1\leq q_1(n)<\cdots <q_\ell(n) are integer valued increasing functions satisfying certain conditions and X(n), n≥0X(n),\, n\geq 0 is a sequence of independent random variables with heavy tails.

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