Singularity analysis for heavy-tailed random variables

Abstract

We propose a novel complex-analytic method for sums of i.i.d. random variables that are heavy-tailed and integer-valued. The method combines singularity analysis, Lindelöf integrals, and bivariate saddle points. As an application, we prove three theorems on precise large and moderate deviations which provide a local variant of a result by S. V. Nagaev (1973). The theorems generalize five theorems by A. V. Nagaev (1968) on stretched exponential laws $p(k) = c\exp( -k^α)$ and apply to logarithmic hazard functions $c\exp( - (\log k)^β)$, $β>2$; they cover the big jump domain as well as the small steps domain. The analytic proof is complemented by clear probabilistic heuristics. Critical sequences are determined with a non-convex variational problem.