Conditional Distribution of Heavy Tailed Random Variables on Large Deviations of their Sum
Probability
2013-06-25 v4
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.
Cite
@article{arxiv.0912.1516,
title = {Conditional Distribution of Heavy Tailed Random Variables on Large Deviations of their Sum},
author = {Inés Armendáriz and Michail Loulakis},
journal= {arXiv preprint arXiv:0912.1516},
year = {2013}
}
Comments
Results on local conditioning added