Large deviation estimates involving deformed exponential functions

2014/04/13 by Jan Naudts, Naudts, Jan, Hiroki Suyari +1
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Probability and Risk Models #Financial Risk and Volatility Modeling #Advanced Harmonic Analysis Research

paper · pdf · doi:10.48550/arxiv.1404.3410

Abstract

We study large deviation properties of probability distributions with either a compact support or a fat tail by comparing them with q-deformed exponential distributions. Our main result is a large deviation property for probability distributions with a fat tail.

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