The general principle for precise large deviations of heavy-tailed random sums

Jianxi Lin

Statistics & Probability Letters, 2008, vol. 78, issue 6, 749-758

Abstract: Let {Xn;n[greater-or-equal, slanted]1} be an arbitrary sequence of heavy-tailed random variables, independent of a process of nonnegative, integer-valued rv's {N(t);t[greater-or-equal, slanted]0}. In this paper, we present a necessary and a sufficient condition on {N(t);t[greater-or-equal, slanted]0} under which the precise large deviation result for nonrandom sum can be extended to the random sum SN(t). The results we obtain not only generalize but also improve some related classical ones.

Keywords: Consistently; varying; tail; Heavy; tail; Precise; large; deviation; Random; sums (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(07)00328-8
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:78:y:2008:i:6:p:749-758

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().