Electronic Communications in Probability

Large deviations for weighted sums of stretched exponential random variables

Nina Gantert, Kavita Ramanan, and Franz Rembart

Full-text: Open access

Abstract

We consider the probability that a weighted sum of n i.i.d. random variables $X_j, j = 1,\ldots,n$, with stretched exponential tails is larger than its expectation and   determine the rate of its decay, under suitable conditions on the weights. We show that the decay is subexponential, and  identify the rate function in terms of the tails of $X_j$ and the weights. Our result generalizes the large deviation principle given by Kiesel and Stadtmüller as well as the tail asymptotics for sums of i.i.d. random variables provided by Nagaev. As an application of our result, motivated by random projections of high-dimensional vectors, we consider the case of random, self-normalized weights that are independent of the sequence $X_j$, identify the decay rate for both the quenched and annealed large deviations in this case, and show that they coincide. As another example we consider weights derived from kernel functions that arise in nonparametric regression.

Article information

Source
Electron. Commun. Probab., Volume 19 (2014), paper no. 41, 14 pp.

Dates
Accepted: 12 July 2014
First available in Project Euclid: 7 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ecp/1465316743

Digital Object Identifier
doi:10.1214/ECP.v19-3266

Mathematical Reviews number (MathSciNet)
MR3233203

Zentralblatt MATH identifier
1314.60076

Subjects
Primary: 60F10: Large deviations
Secondary: 62G32: Statistics of extreme values; tail inference

Keywords
large deviations weighted sums subexponential random variables self-normalized weights quenched and annealed large deviations random projections kernels nonparametric regression

Rights
This work is licensed under a Creative Commons Attribution 3.0 License.

Citation

Gantert, Nina; Ramanan, Kavita; Rembart, Franz. Large deviations for weighted sums of stretched exponential random variables. Electron. Commun. Probab. 19 (2014), paper no. 41, 14 pp. doi:10.1214/ECP.v19-3266. https://projecteuclid.org/euclid.ecp/1465316743


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