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

被引：37

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

页码：1138 / 1147

页数：10

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