Large deviations for truncated heavy-tailed random variables: A boundary case

Arijit Chakrabarty ()
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Arijit Chakrabarty: Indian Statistical Institute

Indian Journal of Pure and Applied Mathematics, 2017, vol. 48, issue 4, 671-703

Abstract: Abstract This paper investigates the decay rate of the probability that the row sum of a triangular array of truncated heavy tailed random variables is larger than an integer (k) times the truncating threshold, as both - the number of summands and the threshold go to infinity. The method of attack for this problem is significantly different from the one where k is not an integer, and requires much sharper estimates.

Keywords: Heavy tails; truncation; regular variation; large deviation (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s13226-017-0250-7

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