Multidimensional Limit Theorems Allowing Large Deviations for Densities of Regular Variation

The sums of i.i.d. random vectors are considered. It is assumed that the underlying distribution is absolutely continuous and its density possesses the property which can be referred to as regular variation. The asymptotic expressions for the probability of large deviations are established in the case of a normal limiting law. Furthermore, the role of the maximal summand is emphasized.

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Year of publication:	1998
Authors:	Nagaev, Alexander V. ; Zaigraev, Alexander Yu.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 67.1998, 2, p. 385-397
Publisher:	Elsevier
Keywords:	sums of i.i.d. random variables maximal summand local theorem for densities marginal density

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

Persistent link: https://www.econbiz.de/10005221744