Large deviations for weighted sums of stretched exponential random variables

DOI10.1214/ECP.V19-3266zbMATH Open1314.60076arXiv1401.4577OpenAlexW2123177881MaRDI QIDQ457795FDOQ457795

Franz Rembart, Nina Gantert, Kavita Ramanan

Publication date: 29 September 2014

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

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.

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)

Cited In (22)

• Asymptotic results for weighted means of linear combinations of independent Poisson random variables
• Large deviations for the maximum of a branching random walk with stretched exponential tails
• Sample path large deviations for Lévy processes and random walks with regularly varying increments
• Maximal edge-traversal time in first-passage percolation
• Large deviations for high-dimensional random projections of \(\ell_p^n\)-balls
• Real-space renormalization for disordered systems at the level of large deviations
• Cramér’s Theorem is Atypical
• High-dimensional limit theorems for random vectors in ℓpn-balls
• Asymmetric scaling in large deviations for rare values bigger or smaller than the typical value
• A note on the singularity probability of random directed \(d\)-regular graphs
• The Maclaurin inequality through the probabilistic lens
• Large deviations of means of heavy-tailed random variables with finite moments of all orders
• A large deviation principle for the normalized excursion of an \(\alpha\)-stable Lévy process without negative jumps
• A variational formula for large deviations in first-passage percolation under tail estimates
• Large deviations, moderate deviations, and the KLS conjecture
• Spatial Gibbs random graphs
• On the large deviations of traces of random matrices
• Sample path large deviations for Lévy processes and random walks with Weibull increments
• Large deviations for infinite weighted sums of stretched exponential random variables
• Deviation inequalities for martingales with applications
• Hitting and escaping statistics: mixing, targets and holes
• Contraction principle for trajectories of random walks and Cramer's theorem for kernel-weighted sums

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