Journal of East China Normal University(Natural Sc ›› 2009, Vol. 2009 ›› Issue (4): 62-68.

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Precise large deviation for sums of negatively associated \\[5pt]heavy-tailed random variables in $\mathcal{D}\cap\mathcal{L

WANG Shi-jie $^{1, 2}$, WANG Wen-sheng$^2   

  1. 1. {\it School of Finance and Statistics, East China Normal University, Shanghai} 200241, {\it China
  • Received:2008-07-02 Revised:2008-12-06 Online:2009-07-25 Published:2009-07-25
  • Contact: WANG Shi-jie

Abstract: By using the characterization of heavy-tailed random variables in
$\mathcal{D}\cap\mathcal{L}$, precise large
deviations for sums (nonrandom sums and random sums) of negatively associated
heavy-tailed random variables in $\mathcal{D}\cap\mathcal{L}$ were obtained, where the
subclass $\mathcal{D}\cap\mathcal{L}$ strictly contains $\mathcal{C}$. Therefore, it
firstly extends some existed precise large deviation results to some larger subclasses
of heavy tailed distributions.

Key words: consistently varying tail, dominately varying tail, long tail, precise large deviation, negatively association, consistently varying tail, dominately varying tail, long tail, precise large deviation

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