Large deviations for truncated heavy-tailed random variables: A boundary case

Article Type

Research Article

Publication Title

Indian Journal of Pure and Applied Mathematics

Abstract

This paper investigates the decay rate of the probability that the row sum of a triangular array of truncated heavy tailed random variables is larger than an integer (k) times the truncating threshold, as both - the number of summands and the threshold go to infinity. The method of attack for this problem is significantly different from the one where k is not an integer, and requires much sharper estimates.

First Page

671

Last Page

703

DOI

10.1007/s13226-017-0250-7

Publication Date

12-1-2017

Comments

Open Access, Green

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