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Tail probabilities for weighted sums of products of normal random variables

Published online by Cambridge University Press:  17 April 2009

B. Gail Ivanoff  and
N.C. Weber
B. Gail Ivanoff
Affiliation:
Department of Mathematics and Statistics, University of Ottawa, PO Box 450 Station A, Ottawa, Ontario, Canada KIN 6N5 email: BGISG@sciences.uottawa.ca
N.C. Weber
Affiliation:
School of Mathematics and Statistics, University of Sydney, New South Wales 2006, Australia e-mail: neville@maths.usyd.edu.au
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Abstract

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Weighted sums of products of independent normal random variables arise naturally as distributional limits for various statistics. This note investigates the rate at which the tail probability of these sums approaches zero.

Type
Research Article
Information
Bulletin of the Australian Mathematical Society , Volume 58 , Issue 2 , October 1998 , pp. 239 - 244
Copyright
Copyright © Australian Mathematical Society 1998

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