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A Maxtrimmed St. Petersburg Game
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics.
Stockholm Univ, Dept Math, S-10691 Stockholm, Sweden..
2016 (English)In: Journal of theoretical probability, ISSN 0894-9840, E-ISSN 1572-9230, Vol. 29, no 1, 277-291 p.Article in journal (Refereed) PublishedText
Abstract [en]

Let S-n, n >= 1, describe the successive sums of the payoffs in the classical St. Petersburg game. The celebrated Feller weak law states that s(n)/n log(2)n ->(p) 1 as n -> infinity It is also known that almost sure convergence fails. However, Csorgo and Simons (Stat Probab Lett 26: 65-73, 1996) have shown that almost sure convergence holds for trimmed sums, that is, for S-n - max(1 <= k <= n) X-k. Since our actual distribution is discrete there may be ties. Our main focus in this paper is on the "maxtrimmed sum", that is, the sum trimmed by the random number of observations that are equal to the largest one. We prove an analog of Martin-Lof's (J Appl Probab 22: 634-643, 1985) distributional limit theorem for maxtrimmed sums, but also for the simply trimmed ones, as well as for the "total maximum". In a final section, we interpret these findings in terms of sums of (truncated) Poisson random variables.

Place, publisher, year, edition, pages
2016. Vol. 29, no 1, 277-291 p.
Keyword [en]
St. Petersburg game, Trimmed sums, LLN, Convergence along subsequences
National Category
Probability Theory and Statistics
URN: urn:nbn:se:uu:diva-282476DOI: 10.1007/s10959-014-0563-yISI: 000371467100013OAI: oai:DiVA.org:uu-282476DiVA: diva2:917131
Available from: 2016-04-05 Created: 2016-04-05 Last updated: 2016-04-05Bibliographically approved

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Gut, Allan
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