Large deviations of sums mainly due to just one summand

DOI10.1080/00029890.2022.2104077MaRDI QIDQ5044634zbMATHOpenAlexFDO

Authors Iosif Pinelis

Publication date 2 November 2022

Published in The American Mathematical Monthly (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2110.14741

zbMATH Keywords

power lawlarge deviations

Mathematics Subject Classification ID

Large deviations (60F10)

Abstract: We present a formalization of the well-known thesis that, in the case of independent identically distributed random variables $X_1,dots,X_n$ with power-like tails of index $alphain(0,2)$, large deviations of the sum $X_1+dots+X_n$ are primarily due to just one of the summands.

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