An Abelian theorem with application to the conditional Gibbs principle

arXiv1302.1337MaRDI QIDQ6239402FDOQ6239402

Publication date: 6 February 2013

Abstract: Let

X_{1}, ..., X_{n}

be

n

independent unbounded real random variables which have common, roughly speaking, light-tailed type distribution. Denote by

S_{1}^{n}

their sum and by

p i^{a_{n}}

the tilted density of

X_{1}

, where

a_{n} i g h t a r r o w i n f t y

as

n i g h t a r r o w i n f t y

. An Abelian type theorem is given, which is used to approximate the first three centered moments of the distribution

p i^{a_{n}}

. Further, we provide the Edgeworth expansion of

n

-convolution of the normalized tilted density under the setting of a triangular array of row-wise independent summands, which is then applied to obtain one local limit theorem conditioned on extreme deviation event

(S_{1}^{n} / n = a_{n})

with

a_{n} i g h t a r r o w i n f t y

.

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