Theorems on large deviations for the sum of random number of summands

Abstract

In this paper, we present the rate of convergence of normal approximation and the theorem on large deviations for a compound process Zt = \sumNt i=1 t aiXi, where Z0 = 0 and ai > 0, of weighted independent identically distributed random variables Xi, i = 1, 2, . . . with mean EXi = µ and variance DXi = σ2 > 0. It is assumed that Nt is a non-negative integervalued random variable, which depends on t > 0 and is independent of Xi, i = 1, 2, . . . .

Keywords

• cumulant
• large deviations
• compound Poisson process