Conditional distribution of heavy tailed random variables on large deviations of their sum

It is known that large deviations of sums of subexponential random variables are most likely realised by deviations of a single random variable. In this article we give a detailed picture of how subexponential random variables are distributed when a large deviation of the sum is observed.

MoreLess

Year of publication:	2011
Authors:	Armendáriz, Inés ; Loulakis, Michail
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 121.2011, 5, p. 1138-1147
Publisher:	Elsevier
Keywords:	Large deviations Subexponential distributions Conditional limit theorem Gibbs conditioning principle

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008872560