Conditional Distribution of Heavy Tailed Random Variables on Large Deviations of their Sum
classification
🧮 math.PR
keywords
randomdeviationslargevariablessubexponentialarticleconditionaldetailed
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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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