On the Exponential Decay Rate of the Tail of a Discrete Probability Distribution

Abstract

We give a sufficient condition for the exponential decay of the tail of a discrete probability distribution π = (π _n ) _n≥0 in the sense that lim _n→∞(1/n) log∑ _i>n π _i  = ?θ with 0 < θ < ∞. We focus on analytic properties of the probability generating function of a discrete probability distribution, especially, the radius of convergence and the number of poles on the circle of convergence. Furthermore, we give an example of an M/G/1 type Markov chain such that the tail of its stationary distribution does not decay exponentially.