Article ID Journal Published Year Pages File Type
1155914 Stochastic Processes and their Applications 2011 10 Pages PDF
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.

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Physical Sciences and Engineering Mathematics Mathematics (General)
Preview
Conditional distribution of heavy tailed random variables on large deviations of their sum
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