Large deviations for truncated heavy-tailed random variables: a boundary\n case

2011/07/14 by Arijit Chakrabarty, Chakrabarty, Arijit
Decision Sciences · Mathematics · Economics, Econometrics and Finance · #Probability and Risk Models #Stochastic processes and statistical mechanics #Financial Risk and Volatility Modeling

paper · pdf · doi:10.48550/arxiv.1107.2736

Abstract

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

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