Limiting behaviour of constrained sums of two variables and the principle of a single big jump

DOI10.1016/J.SPL.2015.08.017MaRDI QIDQ900941zbMATH OpenOpenAlexFDO

Authors Jaakko Lehtomaa

Publication date 23 December 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1504.08118

zbMATH Keywords

heavy-tailedincreasing failure ratelog-convexprinciple of a single big jump

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Central limit and other weak theorems (60F05) Asymptotic distribution theory in statistics (62E20)

Abstract: This note studies the asymptotic properties of the variable ${\displaystyle }$Z_d:=frac{X_1}{d}|{X_1+X_2=d},${\displaystyle }$ as $doinfty$. Here $X_1$ and $X_2$ are non-negative i.i.d. variables with a common twice differentiable density function $f$. General results concerning the distributional limits of $Z_d$ are discussed with various examples. Eventual log-convexity or log-concavity of $f$ turns out to be the key ingredient that determines how the variable $Z_d$ behaves. As a consequence, two surprising discoveries are presented: Firstly, it is noted that the distributional limit is not strictly determined by the decay rate of the tail function. Secondly, it is shown that there exists a light-tailed distribution exhibiting behaviour that is commonly associated with heavy-tailed distributions i.e. the principle of a single big jump.

Recommendations

• On sums of independent random variables without power moments
• Some asymptotic results for one-sided large deviation probabilities
• Asymptotic behavior for sums of non-identically distributed random variables
• On limiting behavior of sums and maxima when tails are slowly varying
• A local limit theorem for densities and large deviations of sums of random number variables

Cites work

• A new class of large claim size distributions: definition, properties, and ruin theory
• A Note on Probability Distributions with Increasing Generalized Failure Rates
• An introduction to heavy-tailed and subexponential distributions
• Asymptotic Analysis of Random Walks
• Asymptotically minimax estimators for distributions with increasing failure rate
• Asymptotics for sums of random variables with local subexponential behaviour
• Conditional distribution of heavy tailed random variables on large deviations of their sum
• Discrete and continuous time modulated random walks with heavy-tailed increments
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• Large deviations for random walks under subexponentiality: The big-jump domain
• Large deviations results for subexponential tails, with applications to insurance risk
• Local subexponentiality and self-decomposability
• Log-concave probability and its applications
• Modeling uncertainty. An examination of stochastic theory, methods, and applications
• On log-concave and log-convex infinitely divisible sequences and densities
• Tail asymptotics for the sum of two heavy-tailed dependent risks
• Technical Note—New Results Concerning Probability Distributions with Increasing Generalized Failure Rates
• The class of subexponential distributions

Cited in

(6)

• Large deviations of means of heavy-tailed random variables with finite moments of all orders
• Refined behaviour of a conditioned random walk in the large deviations regime
• A gamma tail statistic and its asymptotics
• The principle of a single big jump from the perspective of tail moment risk measure
• A Pareto Tail Plot Without Moment Restrictions
• Asymptotic independence and support detection techniques for heavy-tailed multivariate data

This page was built for publication: Limiting behaviour of constrained sums of two variables and the principle of a single big jump

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q900941)