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arXiv · 2202.02935

Quantitative bounds for large deviations of heavy tailed random variables

Quirin Vogel
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Abstract

The probability that the sum of independent, centered, identically distributed, heavy-tailed random variables achieves a very large value is asymptotically equal to the probability that there exists a single summand equalling that value. We quantify the error in this approximation. We furthermore characterise of the law of the individual summands, conditioned on the sum being large.

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Quirin Vogel. 2022-02-07. Quantitative bounds for large deviations of heavy tailed random variables. https://doi.org/10.30757/alea.v20-61

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