A Gibbs Conditional theorem under extreme deviation

DOI10.1137/S0040585X97T991015MaRDI QIDQ6278591arXivFDO

Authors Maëva Biret, M. Broniatowski, Zansheng Cao

Publication date 13 October 2016

Published in arXiv

Full work available at URL https://doi.org/10.1137/S0040585X97T991015

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Statistics (62-XX)

arXiv classification

math.ST stat.TH

Abstract: We explore some properties of the conditional distribution of an i.i.d. sample under large exceedances of its sum. Thresholds for the asymptotic independance of the summands are observed, in contrast with the classical case when the conditioning event is in the range of a large deviation. This paper is an extension to [7]. Tools include a new Edgeworth expansion adapted to specific triangular arrays where the rows are generated by tilted distribution with diverging parameters, together with some Abelian type results.

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