Conditional distribution of heavy tailed random variables on large deviations of their sum. (English) Zbl 1218.60021
Summary: It is known that large deviations of sums of subexponential random variables are most likely realised by deviations of a single random variable. In this article, we give a detailed picture of how subexponential random variables are distributed when a large deviation of the sum is observed.
Keywords:
large deviations; subexponential distributions; conditional limit theorem; Gibbs conditioning principleReferences:
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