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Large Deviation Probabilities for Sums of Random Variables with Heavy or Subexponential Tails

Probability 2022-11-30 v1

Abstract

Let SnS_n be the sum of independent random variables with distribution FF. Under the assumption that log(1F(x))-\log(1-F(x)) is slowly varying, conditions for limnsupstnP[Sn>s]n(1F(s))1=0 \lim_{n\to\infty}\sup_{s\ge t_n}\left|{P[S_n>s]\over n(1-F(s))}-1\right| =0 are given. These conditions extend and strengthen a series of previous results. Additionally, a connection with subexponential distributions is demonstrated. That is, FF is subexponential if and only if the condition above holds for some tnt_n and limt1F(t+x)1F(t)=1for each real x. \lim_{t\to\infty}{1-F(t+x)\over 1-F(t)} = 1 \quad\text{for each real $x$.}

Keywords

Cite

@article{arxiv.2211.16340,
  title  = {Large Deviation Probabilities for Sums of Random Variables with Heavy or Subexponential Tails},
  author = {Daren B. H. Cline and Tailen Hsing},
  journal= {arXiv preprint arXiv:2211.16340},
  year   = {2022}
}