Conditional Distribution of Heavy Tailed Random Variables on Large Deviations of their Sum

Inés Armendáriz; Michail Loulakis

doi:10.1016/j.spa.2011.01.011

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arXiv · 0912.1516

Conditional Distribution of Heavy Tailed Random Variables on Large Deviations of their Sum

Inés Armendáriz·Michail Loulakis

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Abstract

It is known that large deviations of sums of subexponential random variables are most likely realised by deviations of a single random variable. In this article we give a detailed picture of how subexponential random variables are distributed when a large deviation of their sum is observed.

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Inés Armendáriz, Michail Loulakis. 2011-01-22. Conditional Distribution of Heavy Tailed Random Variables on Large Deviations of their Sum. https://doi.org/10.1016/j.spa.2011.01.011

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