Comparison for upper tail probabilities of random series

Fuchang Gao, Zhenxia Liu, Xiangfeng Yang

Published 2013-02-11Version 1

Let $\{\xi_n\}$ be a sequence of independent and identically distributed random variables. In this paper we study the comparison for two upper tail probabilities $\mathbb{P}\{\sum_{n=1}^{\infty}a_n|\xi_n|^p\geq r\}$ and $\mathbb{P}\{\sum_{n=1}^{\infty}b_n|\xi_n|^p\geq r\}$ as $r\rightarrow\infty$ with two different real series $\{a_n\}$ and $\{b_n\}.$ The first result is for Gaussian random variables $\{\xi_n\},$ and in this case these two probabilities are equivalent after suitable scaling. The second result is for more general random variables, thus a weaker form of equivalence (namely, logarithmic level) is proved.