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

被引：36
|
作者：
Armendariz, Ines [2 ]
Loulakis, Michail [1 ,3 ]
机构：
[1] Univ Crete, Dept Appl Math, Iraklion 71409, Greece
[2] Univ San Andres, Victoria, Argentina
[3] FORTH, Inst Appl & Computat Math, Iraklion, Greece
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2011年 / 121卷 / 05期
关键词：
Large deviations; Subexponential distributions; Conditional limit theorem; Gibbs conditioning principle; RANDOM-WALKS; CONDENSATION; LIMIT;
D O I：
10.1016/j.spa.2011.01.011
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
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.
引用
收藏
页码：1138 / 1147
页数：10
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