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2006 Insensitivity to Negative Dependence of the Asymptotic Behavior of Precise Large Deviations
Qihe Tang
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Electron. J. Probab. 11: 107-120 (2006). DOI: 10.1214/EJP.v11-304

Abstract

Since the pioneering works of C.C. Heyde, A.V. Nagaev, and S.V. Nagaev in 1960's and 1970's, the precise asymptotic behavior of large-deviation probabilities of sums of heavy-tailed random variables has been extensively investigated by many people, but mostly it is assumed that the random variables under discussion are independent. In this paper, we extend the study to the case of negatively dependent random variables and we find out that the asymptotic behavior of precise large deviations is insensitive to the negative dependence.

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Qihe Tang. "Insensitivity to Negative Dependence of the Asymptotic Behavior of Precise Large Deviations." Electron. J. Probab. 11 107 - 120, 2006. https://doi.org/10.1214/EJP.v11-304

Information

Accepted: 11 February 2006; Published: 2006
First available in Project Euclid: 31 May 2016

zbMATH: 1109.60021
MathSciNet: MR2217811
Digital Object Identifier: 10.1214/EJP.v11-304

Subjects:
Primary: 60F10
Secondary: 60E15

Keywords: (lower/upper) negative dependence , (upper) Matuszewska index , Consistent variation , partial sum , precise large deviations , uniform asymptotics

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