Large deviations for weighted sums of stretched exponential random variables

DOI10.1214/ECP.V19-3266MaRDI QIDQ457795zbMATH OpenOpenAlexFDO

Authors Nina Gantert, Kavita Ramanan, Franz Rembart

Publication date 29 September 2014

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1401.4577

zbMATH Keywords

nonparametric regressionlarge deviationsweighted sumsself-normalized weightsstretched exponential random variablessubexponential random variables

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Large deviations (60F10) Statistics of extreme values; tail inference (62G32)

Abstract: We consider the probability that a weighted sum of $n$ i.i.d. random variables $X_j$, $j=1,\mathrm{...},n$, with stretched exponential tails is larger than its expectation and determine the rate of its decay, under suitable conditions on the weights. We show that the decay is subexponential, and identify the rate function in terms of the tails of $X_j$ and the weights. Our result generalizes the large deviation principle given by Kiesel and Stadtm"uller [8] as well as the tail asymptotics for sums of i.i.d. random variables provided by Nagaev [10, 11]. As an application of our result, motivated by random projections of high-dimensional vectors, we consider the case of random, self-normalized weights that are independent of the sequence ${X_j}_{jinmathbbN}$, identify the decay rate for both the quenched and annealed large deviations in this case, and show that they coincide. As another example we consider weights derived from kernel functions that arise in non-parametric regression.

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