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Large deviations for truncated heavy-tailed random variables: A boundary case

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  • Arijit Chakrabarty

    (Indian Statistical Institute)

Abstract

This paper investigates the decay rate of the probability that the row sum of a triangular array of truncated heavy tailed random variables is larger than an integer (k) times the truncating threshold, as both - the number of summands and the threshold go to infinity. The method of attack for this problem is significantly different from the one where k is not an integer, and requires much sharper estimates.

Suggested Citation

  • Arijit Chakrabarty, 2017. "Large deviations for truncated heavy-tailed random variables: A boundary case," Indian Journal of Pure and Applied Mathematics, Springer, vol. 48(4), pages 671-703, December.
    • Handle: RePEc:spr:indpam:v:48:y:2017:i:4:d:10.1007_s13226-017-0250-7
    DOI: 10.1007/s13226-017-0250-7
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    References listed on IDEAS

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    1. Chakrabarty, Arijit, 2012. "Effect of truncation on large deviations for heavy-tailed random vectors," Stochastic Processes and their Applications, Elsevier, vol. 122(2), pages 623-653.
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