Effect of truncation on large deviations for heavy-tailed random vectors

Arijit Chakrabarty

Stochastic Processes and their Applications, 2012, vol. 122, issue 2, 623-653

Abstract: This paper studies the effect of truncation on the large deviations behavior of the partial sum of a triangular array coming from a truncated power law model. Each row of the triangular array consists of i.i.d. random vectors, whose distribution matches a power law on a ball of radius going to infinity, and outside that it has a light-tailed modification. The random vectors are assumed to be Rd-valued. It turns out that there are two regimes depending on the growth rate of the truncating threshold, so that in one regime, much of the heavy tailedness is retained, while in the other regime, the same is lost.

Keywords: Heavy tails; Truncation; Regular variation; Large deviation (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spa.2011.09.006

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