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

Inés Armendáriz and Michail Loulakis

Stochastic Processes and their Applications, 2011, vol. 121, issue 5, 1138-1147

Abstract: 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.

Keywords: Large; deviations; Subexponential; distributions; Conditional; limit; theorem; Gibbs; conditioning; principle (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (4)

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