Singularity analysis for heavy-tailed random variables

DOI10.1007/S10959-018-0832-2MaRDI QIDQ1721901zbMATH OpenOpenAlexFDO

Authors Nicholas M. Ercolani, Sabine Jansen, D. Ueltschi

Publication date 13 February 2019

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1509.05199, http://hdl.handle.net/10150/631972

zbMATH Keywords

asymptotic analysisbivariate steepest descentheavy-tailed random variableslarge deviationsLindelöf integrallocal limit lawssingularity analysis

Mathematics Subject Classification ID

Exact enumeration problems, generating functions (05A15) Integration, integrals of Cauchy type, integral representations of analytic functions in the complex plane (30E20) Special integral transforms (Legendre, Hilbert, etc.) (44A15) Central limit and other weak theorems (60F05) Large deviations (60F10)

Abstract: We propose a novel complex-analytic method for sums of i.i.d. random variables that are heavy-tailed and integer-valued. The method combines singularity analysis, Lindel"of integrals, and bivariate saddle points. As an application, we prove three theorems on precise large and moderate deviations which provide a local variant of a result by S. V. Nagaev (1973). The theorems generalize five theorems by A. V. Nagaev (1968) on stretched exponential laws $p(k)=cexp(-k^{a}lpha)$ and apply to logarithmic hazard functions $$, $$; they cover the big jump domain as well as the small steps domain. The analytic proof is complemented by clear probabilistic heuristics. Critical sequences are determined with a non-convex variational problem.

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Cited in

(2)

• Spatial populations with seed-bank: well-posedness, duality and equilibrium
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