Effect of truncation on large deviations for heavy-tailed random vectors

DOI10.1016/J.SPA.2011.09.006zbMATH Open1236.60028arXiv1107.2476OpenAlexW1974137066MaRDI QIDQ665444FDOQ665444

Arijit Chakrabarty

Publication date: 5 March 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: This paper studies the effect of truncation on the large deviations behavior of the partial sum of a triangular array coming from a truncated power law model. Each row of the triangular array consists of i.i.d. random vectors, whose distribution matches a power law on a ball of radius going to infinity, and outside that it has a light-tailed modification. The random vectors are assumed to be R^d-valued. It turns out that there are two regimes depending on the growth rate of the truncating threshold, so that in one regime, much of the heavy tailedness is retained, while in the other regime, the same is lost.

Full work available at URL: https://arxiv.org/abs/1107.2476

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zbMATH Keywords

heavy tailstruncationlarge deviationregular variation

Mathematics Subject Classification ID

Large deviations (60F10)

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Cited In (2)

• Large deviations for truncated heavy-tailed random variables: a boundary case
• Quenched tail estimate for the random walk in random scenery and in random layered conductance. II.

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