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

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:121

Article

Armendariz, Ines²  Loulakis, Michail^1,3 

[1] Univ Crete, Dept Appl Math, Iraklion 71409, Greece

[2] Univ San Andres, Victoria, Argentina

[3] FORTH, Inst Appl & Computat Math, Iraklion, Greece

关键词: Large deviations;    Subexponential distributions;    Conditional limit theorem;    Gibbs conditioning principle;   

DOI  :  10.1016/j.spa.2011.01.011

来源: Elsevier

【 摘 要 】

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. (C) 2011 Elsevier B.V. All rights reserved.

【 授权许可】

Free