Title of article :
Conditional distribution of heavy tailed random variables on large deviations of their sum
Author/Authors :
Armendلriz، نويسنده , , Inés and Loulakis، نويسنده , , Michail، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2011
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 the sum is observed.
Keywords :
Large deviations , subexponential distributions , Gibbs conditioning principle , conditional limit theorem
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications
