Large deviations for weighted means of random vectors defined in terms of suitable Lévy processes

Rita Giuliano, Claudio Macci and Barbara Pacchiarotti

Statistics & Probability Letters, 2019, vol. 150, issue C, 13-22

Abstract: We consider generalized logarithmic means of some multivariate random variables. We prove two large deviation results: the first one concerns generalized centered Brownian motions; the second one concerns compound Poisson processes with bounded jumps, and it is a generalization of Theorem 3.2 in Giuliano et al. (2011).

Keywords: Brownian motion; Compound Poisson process; Logarithmic means (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2019.02.009

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