Conditional Distribution of Heavy Tailed Random Variables on Large Deviations of their Sum

Details Conditional Distribution of Heavy Tailed Random Variables on Large Deviations of their Sum Conditional Distribution of Heavy Tailed Random Variables on Large Deviations of their Sum

2009-12-08

arxiv.org/abs/0912.1516v4

Mathematics

Probability

Results on local conditioning added

Scientific paper

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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