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Asymptotic Tail of the Product of Independent Poisson Random Variables

Authors: Chvoinikov, Džiugas; Šiaulys, Jonas;

Asymptotic Tail of the Product of Independent Poisson Random Variables

Abstract

This paper studies the asymptotic tail behaviour of products of independent Poisson random variables. Let \[ Z_m=\prod_{j=1}^m X_j, \] where $X_1,\dots,X_m$ are independent Poisson random variables. We derive a Laplace-type asymptotic approximation for \[ P(Z_m \ge n), \qquad n\to\infty, \] whose relative error tends to zero. The analysis is based on Stirling's logarithmic approximation, a constrained saddle-point method, the Lambert $W$ function, and a careful evaluation of the associated Gaussian prefactor. These tools yield an explicit asymptotic description of the tail probability of the product. For clarity of exposition, we first treat the case $m=2$, which illustrates the main ideas in a simpler setting, and then extend the argument to the general product of $m$ independent Poisson random variables.

Keywords

Probability

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
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Average