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A note on Spitzer's lemma and its application to the maximum of partial sums of dependent random variables
Published online by Cambridge University Press: 14 July 2016
Abstract
We give an expression for the expectation of max (0, S1, …, Sn) where Sk is the kth partial sum of a finite sequence of exchangeable random variables X1, …, Xn. When the Xk are also independent, the formula we give has already been obtained by Spitzer; and when the sequence is a finite segment of an infinite sequence of exchangeable random variables, it is a consequence of a theorem of Hewitt.
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- Copyright © Applied Probability Trust 1976
Footnotes
In this note equations and theorems are numbered as in Spitzer (1956).
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