Veillette, Mark S.; Taqqu, Murad S. - In: Stochastic Processes and their Applications 122 (2012) 3, pp. 885-909
Consider the sum Z=∑n=1∞λn(ηn−Eηn), where ηn are independent gamma random variables with shape parameters rn0, and the λn’s are predetermined weights. We study the asymptotic behavior of the tail ∑n=M∞λn(ηn−Eηn), which is asymptotically normal under certain conditions. We...
