Large deviations for super-heavy tailed random walks

Toshio Nakata

Statistics & Probability Letters, 2022, vol. 180, issue C

Abstract: In this article, we study large deviations for sums of independent and identically distributed random variables (random walks) with nonnegative super-heavy tailed distributions. While Hu and Nyrhinen (2004) gave results for heavy tailed distributions, our result is an improvement of one of theirs for super-heavy tailed ones. Moreover, we apply it to the log-Pareto distribution and the distribution for the super-Petersburg game.

Keywords: Large deviations; Super-heavy tail; Log-Pareto distribution; Super-Petersburg game (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2021.109240

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