کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156775 958867 2012 31 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Effect of truncation on large deviations for heavy-tailed random vectors
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Effect of truncation on large deviations for heavy-tailed random vectors
چکیده انگلیسی

This paper studies the effect of truncation on the large deviations behavior of the partial sum of a triangular array coming from a truncated power law model. Each row of the triangular array consists of i.i.d. random vectors, whose distribution matches a power law on a ball of radius going to infinity, and outside that it has a light-tailed modification. The random vectors are assumed to be RdRd-valued. It turns out that there are two regimes depending on the growth rate of the truncating threshold, so that in one regime, much of the heavy tailedness is retained, while in the other regime, the same is lost.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 122, Issue 2, February 2012, Pages 623–653
نویسندگان
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