Precise large deviations through a uniform Tauberian theorem
Fuente:
arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866917520904028160 |
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| author | Cristadoro, Giampaolo Pozzoli, Gaia |
| author_facet | Cristadoro, Giampaolo Pozzoli, Gaia |
| contents | We derive a large deviation principle for families of random variables in the basin of attraction of spectrally positive stable distributions by proving a uniform version of the Tauberian theorem for Laplace-Stieltjes transforms. The main advantage of this method is that it can be easily applied to cases that are beyond the reach of the techniques currently used in the literature. Notable examples include large deviations for random walks with long-ranged memory kernels, as well as for randomly stopped sums where the random time $\mathrm N$ is either not concentrated around its expectation or has an infinite mean. The method reveals the role of the characteristic function when Cramér's condition is violated and provides a unified approach within regular variation. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_04059 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Precise large deviations through a uniform Tauberian theorem Cristadoro, Giampaolo Pozzoli, Gaia Probability Mathematical Physics primary: 60F10, 40E05, secondary: 60G50, 60G52, 82D99, 82B41 We derive a large deviation principle for families of random variables in the basin of attraction of spectrally positive stable distributions by proving a uniform version of the Tauberian theorem for Laplace-Stieltjes transforms. The main advantage of this method is that it can be easily applied to cases that are beyond the reach of the techniques currently used in the literature. Notable examples include large deviations for random walks with long-ranged memory kernels, as well as for randomly stopped sums where the random time $\mathrm N$ is either not concentrated around its expectation or has an infinite mean. The method reveals the role of the characteristic function when Cramér's condition is violated and provides a unified approach within regular variation. |
| title | Precise large deviations through a uniform Tauberian theorem |
| topic | Probability Mathematical Physics primary: 60F10, 40E05, secondary: 60G50, 60G52, 82D99, 82B41 |
| url | https://arxiv.org/abs/2407.04059 |