On the rate of convergence in limit theorems for geometric sums of i.i.d. random variables

Transcription

1 On the rate of convergence in limit theorems for geometric sums of i.i.d. random variables Self-normalized Asymptotic Theory in Probability, Statistics and Econometrics IMS (NUS, Singapore), May 19-23, 2014

2 Acknowledgments Thanks to Institute for Mathematical Sciences (IMS, NUS), for the invitation, hospitality and financial support. Professor Chen Louis H. for helpful discussions on Stein-Chen method and related problems. Professor Rollin Adrian from Department of Statistics and Applied Probability (Faculty of Sciences, NUS) for introducing the Kalashnikov s book (1997) on geometric sums to me and valuable suggestions related to geometric sums.

3 Presentation Title On the rate of convergence in limit theorems for geometric sums of i.i.d. random variables (Joint work with Le Truong Giang, UFM, Vietnam)

4 Contents Main Points 1 Geometric sums. 2 Limit theorems for geometric sums of i.i.d. random variables (The Renyi s Theorem, 1957). 3 The rate of convergence (o-small rate and O-large rate)

5 Contents 1 For geometric sums of row-wise triangular arrays of independent identically distributed random variables (The Renyi-type theorems) 2 Main tools: The Trotter-operator method, Taylor s expansion, Geometrically infinitely divisibility, Geometrically strictly stability.

6 Outline Outline Motivation Preliminaries Main Results Conclusions References

7 Motivation 1 Geometric Sum: Let X 1, X 2,... be a sequence of independent identically distributed (i.i.d.) random variables. Let ν Geo(p), p (0, 1) be a geometric random variable with parameter p (0, 1). Denote S ν = X 1 + X X ν the geometric sum. By convention S 0 = 0. 2 Geometric sum has attracted much attention (both in pure and applied maths). 3 Relationship between Geometric Sums and Ruin Probabilities (in Classical Risk Models) via Pollazeck-Khinchin formula. 4 Renyi s Theorem (1957) is one of well-known limit theorems in Probability Theory and related Problems.

8 References related to Random sum, Geometric sums and Ruin Probability V. M. Kruglov and V. Yu. Korolev, (1990), Limit Theorems for Random Sums, Mosc. St. Univ. Publ., Moscow, (in Russian). B. Gnedenko and V. Yu. Korolev, (1996), Random Summations: Limit Theorems and Applications, CRC Press, New York. V. Kalashnikov, (1997), Geometric Sums: Bounds for Rare Events with Applications, Kuwer Academic Publishers. Allan Gut, (2005), Probability:A Graduate Course, Springer.

9 References related to Geometric sums and Ruin Probability J.L. Bon, (2002), Geometric Sums in Reliability Evaluation of Regenerative Systems, Information Processes, V. 2, N. 2, J. Grandell, (2002), Risk Theory and Geometric Sums, Information Processes, Vol. 2, N. 2, S. Asmusen, (2003), Applied Probability and Queues, Springer. S. Asmusen, (2010), Ruin Probabilities, World Scientific.

10 Classical Renyi Limit Theorem Renyi s Theorem, 1957, WLLN Let X 1, X 2,... be a sequence of i.i.d. random variables with mean 0 < m = E(X 1 ) Let ν Geo(p), p (0, 1) be a geometric random variable with success probability P (ν = k) = p(1 p) k 1, k = 1, 2,... Denote S ν = X 1 + X X ν ; S 0 = 0 the geometric sum. Let Z (m) be an exponential random variable with positive mean m, i.e. Z (m) Exp( 1 m ). Then ps ν d Z (m) as p 0 +

11 Toda s Theorem, 2012 Let X 1, X 2,... be a sequence of independent non-identically distributed random variables with mean 0 = E(X n ), 0 < σn 2 = D(X n ) < ; n = 1, 2, Let a j be a real sequence such that a := lim n n Let lim n n α σn 2 = 0 for some 0 < α < 1 and n σ 2 := 1 n σj 2 > 0. j=1 n a j exists. j=1 for all ɛ > 0, we have an analog of Lindeberg s condition: lim p 0 j=1 (1 p) j 1 pe [ Xj 2 { X j ɛp ] 1 2 } = 0.

12 Toda s Theorem, 2012 Theorem Then p 1 2 ν (X j + p 1 2 aj ) d W 0,a,σ as p 0. j=1 where W 0,a,σ is an asymmetric Laplace distributed random variable with parameters (0, a, σ). Goal The rate of convergence in Renyi-type limit theorems The rate of convergence in generalized Renyi-type limit theorems (for negative-binomial random sums).

13 References related to the Renyi-type limit theorems V. M. Kruglov and V. Yu. Korolev, (1990), Limit Theorems for Random Sums, Mosc. St. Univ. Publ., Moscow, (in Russian). V. Kalashnikov, (1997), Geometric Sums: Bounds for Rare Events with Applications, Kuwer Academic Publishers. E. V. Sugakova, (1995), Estimates in the Renyi theorem for differently distributed terms, Ukrainian Mathematical Journal, Vol. 47, No. 7,

14 References related to the Renyi-type limit theorems Samuel Kotz, Tomasz J. Kozubowski and Krzysztof Podgorski, (2001), The Laplace Distribution and Generalizations, Indiana UniversityPurdue University, Indianapolis. Erol A. Pekoz and Adrian Rollin, (2011), New rates for exponential approximation and the theorems of Renyi and Yaglom, The Annals of Probability, Vol. 39, No. 2, Alexis Akira Toda, (2012), Weak Limit of the Geometric Sum of Independent But Not Identically Distributed Random Variables. John Pike and Haining Ren, Stein s method and the Laplace distribution.

15 The Trotter s Operator Definition, H. F. Trotter, 1959 Let C B (R) be the set of all real-valued bounded and uniformly continuous functions f on R and f = sup f (x) Let X be a x R random variable. A linear operator A X : C B (R) C B (R), is said to be Trotter operator and it is defined by A X f(t) := Ef(X + t) = R f(x + t)df X (x) where F X is the distribution function of X, t R, f C B (R).

16 The Trotter s Operator Properties The operator A X is a linear positive contraction operator, i.e., A X f f, for each f C B (R). The operators A X1 and A X2 commute.

17 The Trotter s Operator Properties The equation A X f(t) = A Y f(t) for f C B (R), t R, provided that X and Y are identically distributed random variables. If X 1, X 2,..., X n are independent random variables, then for f C B (R) A X X n (f) = A X1... A Xn (f).

18 Trotter Operator Properties Suppose that X 1, X 2,..., X n and Y 1, Y 2,..., Y n are independent random variables (in each group) and they are independent. Then for each f C B (R) A X X n (f) A Y Y n (f) n A Xi (f) A Yi (f). i=1 For two independent random variables X and Y, for each f C B (R) and n = 1, 2,... A n X(f) A n Y (f) n A X (f) A Y (t).

19 Trotter Operator Properties Suppose that X 1, X 2,..., X n and Y 1, Y 2,..., Y n, are i.i.d. random variables (in each group) and they are independent. Assume that ν Geo(p), p (0, 1) is geometric distributed random variable, independent of all X j and Y j, j = 1, 2,.... Then, for each f C B (R) A X X ν (f) A Y Y ν (f) 1 p A X 1 (f) A Y1 (f).

20 Trotter Operator Properties Let Then, lim A X n n (f) A X (f) = 0, f CB(R), r r N X n d X as n

21 References related to the Trotter s Operator P. L. Butzer, L. Hahn, and U. Westphal, (1975), On the rate of approximation in the central limit theorem, Journal of Approximation Theory, vol. 13, P. L. Butzer and Hahn, (1978), General theorems on Rates of Convergence in Distribution of Random Variables I. General Limit Theorems, Journal of Multivariate Analysis, vol. 8, P. L. Butzer and L. Hahn, (1978), General Theorems on Rates of Convergence in Distribution of random Variables. II. Applications to the Stable Limit Laws and Weak Laws of Large Numbers, Journal of Multivariate Analysis 8,

22 References related to the Trotter s Operator A. Renyi, (1970), Probability theory, Akademiai Kiado, Budapest. Z. Rychlick and D. Szynal, (1975), Convergence rates in the central limit theorem for sums of a random number of independent random variables, Probability Theory and its applications, Vol. 20, N. 2, Z. Rychlick and D. Szynal, (1979), On the rate of convergence in the central limit theorem, Probability Theory, Banach Center Publications, Volume 5, Warsaw, V. Sakalauskas, (1977), On an estimate in the multidimensional limit theorems, Liet. matem.rink, 17, H. F. Trotter, (1959), An elementary proof of the central limit theorem, Arch. Math (Basel), 10,

23 Geometrically infinitely divisibility (G.I.D.) Definition, Klebanov, 1984 A real-valued random variable X is said to be a geometrically infinitely divisible (g.i.d.) if for any p (0, 1), there exists a sequence of real-valued independent identically distributed random variables X j (p), such that X d = ν X j (p), j where ν Geo(p), p (0, 1), and ν and all X j (q), j = 1, 2,... are independent.

24 Geometrically infinitely divisibility (G.I.D.) Theorem, Klebanov, 1984 A characteristic function of X is geometrically infinitely divisible if, and only if, it has the form f X (t) = 1 1 ln Ψ(t), where Ψ(t) is an infinitely divisibility characteristic function.

25 Geometrically infinitely divisibility (G.I.D.) Theorem, Klebanov, 1984 Let X 1, X 2,... be a sequence of independent identically distributed random variables. Suppose that ν is a positive integer-valued random variable having geometric distribution with success probability P (ν = k) = p(1 p) k 1, k = 1, 2,... ; p (0, 1). Assume that ν and X 1, X 2,... are independent. Let us denote by S ν = X 1 + X X ν the geometric random sum. Suppose that ν p X j (p) d X as q 0. j=1 Then, X is geometrically infinitely divisible random variable.

26 Geometrically strictly stability (G.S.S.) Definition, Klebanov, 1984 A real-valued random variable Y is said to be a geometrically strictly stability (g.s.s.) if for any q (0, 1), there exists a positive constant c = c(p) > 0 such that Y d = c(p) ν Y j (p), j where ν Geo(p), p (0, 1), independent of all Y j (p), j = 1, 2,....

27 Geometrically strictly stable (G.S.S.) Theorem, Klebanov, 1984 Let Y be a non-degenerate distributed random variable. The characteristic function of Y is geometrically strictly stable if, and only if, it has the form f Y (t) = λ t α exp ( i 2 θαsgn(t)), where λ, α, θ are parameters such that 0 < α 2, θ θ α = min(1, 2 α 1), λ > 0.

28 Examples 1 the exponential random variable Z m Exp( 1 m ) is GID where Z j Exp( 1 m ) Z (m) d = p ν 2 the Laplace random variable is GSS j Z j W 0,σ d = p 1 2 ν W j, j

29 Exponential random variable with mean m 1 Density function: 2 Characteristic function: p Z (x) = 1 m e 1 m x, x 0. f Z (t) = 1 1 imt

30 Symmetric Laplace random variable W 0,σ 1 Density function: 2 Characteristic function: p W (x) = σ 2 exp σ x. f W (t) = i 1 σ 2 t 2 Note: W is a double exponential random variable.

31 References related to the G.I.D. and D.S.S. Emad-Eldin A. A. Aly and Nadjib Bouzar, (2000), On geometric infinitely divisibility and Stability, Ann. Inst. Statist. Math. Vol. 52, No.4, pp V. Kalashnikov, (1997), Geometric sums: bounds for rare events with applications. Risk analysis, reliability, queuing. Mathematics and its Applications, 413. Kluwer Academic Publishers Group, Dordrecht, xviii+265 pp. L. V. Klebanov, G. M. Manyia, and I. A. Melamed, (1984), A problems of Zolotarev analogs of infinitely divisible and stable distributions i an scheme for summing a random number of random variables, Theory Probab. Appl, 29, pp

32 References related to the G.I.D. and D.S.S. S. Kotz, T.J. Kozubowski, and K. Podgrski, (2001), The Laplace Distribution and Generalizations: A Revisit with Applications to Communications Economics, Engineering, and Finance. Birkhuser Boston, Inc., Boston, MA, xviii+349 pp. V. M. Kruglov and V. Yu. Korolev, (1990), Limit Theorems for Random Sums, Mosc. St. Univ. Publ., Moscow, (in Russian).

33 Lipschitz class The modulus of continuity of function f is defined for f C B (R), δ 0 by ω(f; δ) := sup f(x + h) f(x). (1) h δ The modulus of continuity ω(f; δ) is a monotonely decreasing function of δ with ω(f; δ) 0 for δ 0 +, and ω(f; λδ) (1 + λ)ω(f; δ) for λ > 0. A function f C B (R) is said to satisfy a Lipschitz condition of order α, 0 < α 1, in symbol f Lip(α), if ω(f; δ) = O(δ α.) It is easily seen that f Lip(1), if f C B (R).

34 Main Results Theorem 1 Let (X nj, j = 1, 2,..., n; n = 1, 2,...) be a row-wise triangular array of non-negative independent identically distributed random variables with E( X n1 k ) < +, n = 1, 2,..., k = 1, 2,..., r; r = 1, 2,.... Let ν be a geometric random variable with parameter p, p (0, 1) and for every n = 1, 2,... X n1, X n2,..., ν are independent. Moreover, assume that E X n1 k = E Z (m) 1 k, k = 1, 2,..., r; r = 1, 2,....

35 Continuous Theorem 1 Then, for f C r B (R) A psν f A Z (m) = o(p r 1 ), as p 0. where Z (m) is a exponential distributed random variable with positive mean E(Z (m) ) = m.

36 An analog of Renyi Theorem Corollary 1 Then, (X nj, j = 1, 2,..., n; n = 1, 2,...) be a row-wise triangular array of non-negative independent identically distributed random variables with mean 0 < E(X nj ) = m, j = 1, 2,..., n; n = 1, 2,.... ν be a geometric random variable with parameter p, p (0, 1) and for every n = 1, 2,... X n1, X n2,..., ν are independent. ps ν d Z (m), as p 0 where S ν = X n1 + X n X nν, for n = 1, 2,... and Z (m) is a exponential distributed random variable with positive mean E(Z (m) ) = m. Note that S 0 = 0 by convention.

37 Main Results Theorem 3 (X nj, j = 1, 2,..., n; n = 1, 2,...) be a row-wise triangular array of non-negative valued, independent and identically distributed random variables with finite r-th absolute moment E( X nj r ) < +, j = 1, 2,... ; r 1. ν be a geometric variable with parameter p, p (0, 1) and ν is independent of all X nj, j = 1, 2,..., n; n = 1, 2,.... E( X nj k ) = E( Z (m) j k ); k = 1, 2,..., r 1; r 1.

38 Continuous Theorem 3 Then, for every f C r 1 B (R), A psν f A Z (m)f 2pr 1 (r 1)! ω(f (r 1) ; p) ( m r 1 (r 1)! + m r r! ) where Z (m) j are independent exponential distributed random variables with common mean m, i.e. Z (m) j Exp( 1 m ), j = 1, 2,...

39 Main Results Corollary 2 (X nj, j = 1, 2,..., n; n = 1, 2,...) be a row-wise triangular array of non-negative valued, independent and identically distributed random variables with mean E(X n1 ) = m < + and finite variance 0 < D(X n1 ) = σ 2 < +, j = 1, 2,..., n; n = 1, 2,.... ν be a geometric variable with parameter p, p (0, 1), ν is independent of all X nj, j = 1, 2,..., n; n = 1, 2,.... Then, for every f C 1 B (R), A psν f A Z (m)f 2ω(f ; p) (m + 12 ) σ2 + m 2

40 Main Results Continuous In particular, suppose that f Lip(α, M), 0 < α 1, 0 < M < +. Then A psν f A Z (m)f 2 (m + 12 ) σ2 + m 2 Mp α.

41 Main Results Corollary 3 (X nj, j = 1, 2,..., n; n = 1, 2,...) be a row-wise triangular array of non-negative valued, independent and standard normal distributed random variables. ν be a geometric variable with parameter p, p (0, 1), and ν is independent of all X nj, j = 1, 2,..., n; n = 1, 2,.... Denote by S 2 ν := X 2 n X2 nν by the geometric sum of squared standard normal random variables (another word we call is by chi-squared random variable with geometric degree of freedom)

42 Main Results Corollary 3 (continuous) Then, for every f C 2 B (R), A ps 2 ν f A Z (1)f p 2 f ( ) ω(f ; p, where Z (1) Exp(1).

43 Main Results Theorem 4 Let (X nj, j = 1, 2,..., n; n = 1, 2,...) be a row-wise triangular array of independent identically distributed random variables with E( X n1 k ) < +, n = 1, 2,..., k = 1, 2,..., r; r = 1, 2,.... Let ν be a geometric random variable with parameter p, p (0, 1) and for every n = 1, 2,... X n1, X n2,..., ν are independent. Let W is a Laplace distributed random variable W L(0, σ). Moreover, assume that E X n1 k = E W k, k = 1, 2,..., r; r = 1, 2,....

44 Continuous Theorem 4 Then, for f C r B (R) A ps ν f A W f = o(p r 2 1 ), as p 0.

45 Main Results Corollary 4 Then, Let (X nj, j = 1, 2,..., n; n = 1, 2,...) be a row-wise triangular array of independent identically distributed random variables with pa = E(Xn1 ); σ 2 = D(X n1 ) < +, n = 1, 2,.... Let ν be a geometric random variable with parameter p, p (0, 1) and for every n = 1, 2,... X n1, X n2,..., ν are independent. Let W is a Laplace distributed random variable W L(0, σ). psν d W, as p 0.

46 Main Results Corollary 5 Let (X nj, j = 1, 2,..., n; n = 1, 2,...) be a row-wise triangular array of independent identically distributed random variables with pa = E(X n1 ); σ 2 = D(X n1 ) < +, E X nj 3 = γ < ; n = 1, 2,.... Let ν be a geometric random variable with parameter p, p (0, 1) and for every n = 1, 2,... X n1, X n2,..., ν are independent. Let W is a Laplace distributed random variable W L(a, σ).

47 Continuous Corollary 5 Then, for every f C 2 B (R), A ps ν f A W f ω(f ; ] p) [2σ 2 + 3σ3 + γ, as p If f Lip(α, M) with 0 < α < 1, Then ] A ps ν f A W f Mpα 2 ) [2σ 2 + 3σ3 + γ, as p

48 Negative-binomial random sum Definition Let (X n1, X n2,...) be a row-wise triangular array of independent identically distributed random variables Let τ be a negative-binomial random variable with parameter l, p, p (0, 1), l = 1, 2,... such that P (τ = k) = C l 1 k 1 pl (1 p) k l. Assume that for every n = 1, 2,... X n1, X n2,..., τ are independent. Denote by S τ = X n1 + X n X nτ the negative-binomial sum of i.i.d. random variables

49 Main Results Theorem 5 Let (X nj, j = 1, 2,..., n; n = 1, 2,...) be a row-wise triangular array of independent identically distributed random variables with E( X n1 = m, n = 1, 2,..., k = 1, 2,..., r; r = 1, 2,.... Let τ be a negative-binomial random variable with parameter l, p; l 1, p (0, 1) and for every n = 1, 2,... X n1, X n2,..., τ are independent. Let G is a Gamma distributed random variable G Γ(l, l m ).

50 Continuous Theorem 5 Then, for every f C r B (R) ( [ A p f A p] ) r 1 Gf = o, as p 0. l l

51 Main Results Corollary 6 (Generalized Renyi Theorem) Then, Let (X nj, j = 1, 2,..., n; n = 1, 2,...) be a row-wise triangular array of independent identically distributed random variables with E( X n1 = m, n = 1, 2,..., k = 1, 2,..., r; r = 1, 2,.... Let τ be a negative-binomial random variable with parameter l, p; l 1, p (0, 1) and for every n = 1, 2,... X n1, X n2,..., τ are independent. Let G is a Gamma distributed random variable G Γ(l, l m ). p l S τ d G, as p 0 +.

52 Conclusions The Trotter method is elementary and elegant (apply to multi-dimensional spaces). This method can be applied to a wide class of random variables (not only for continuous class) The rates of convergence in limit theorems for geometric sums should be estimated using a probability distance based on Trotter operator d A (ps ν, Z; f) := sup Ef(pS ν + y) Ef(Z + y) y R Consider the case for geometrical sums of independent non-identically distributed random variables (Toda s Theorem, 2012)

53 Thanks Thanks for your attention!