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Large deviation results for triangular arrays of semiexponential random variables

Abstract : 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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Submitted on : Friday, October 16, 2020 - 5:55:43 PM
Last modification on : Friday, October 23, 2020 - 12:10:16 PM

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  • HAL Id : hal-02968048, version 1
  • ARXIV : 2010.09276

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Thierry Klein, Agnès Lagnoux, Pierre Petit. Large deviation results for triangular arrays of semiexponential random variables. 2020. ⟨hal-02968048⟩

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