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Article Dans Une Revue Journal of Applied Probability Année : 2022

Large deviation results for triangular arrays of semiexponential random variables

Résumé

Asymptotics deviation probabilities of the sum S n = X 1 + · · · + X n of independent and identically distributed real-valued random variables have been extensively investigated , in particular when X 1 is not exponentially integrable. For instance, A.V. Nagaev formulated exact asymptotics results for P(S n > x n) when X 1 has a semiexponential distribution (see, [16, 17]). In the same setting, the authors of [4] derived deviation results at logarithmic scale with shorter proofs relying on classical tools of large deviation theory and expliciting the rate function at the transition. In this paper, we exhibit the same asymptotic behaviour for triangular arrays of semiexponentially distributed random variables, no more supposed absolutely continuous.
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Dates et versions

hal-02968048 , version 1 (16-10-2020)

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Thierry Klein, Agnès Lagnoux, P Petit. Large deviation results for triangular arrays of semiexponential random variables. Journal of Applied Probability, 2022, 59 (2), p.399-420. ⟨hal-02968048⟩
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