Large deviations for heavy-tailed random elements in convex cones |
| |
Authors: | Christoph Kopp Ilya Molchanov |
| |
Affiliation: | Institute of Mathematical Statistics and Actuarial Science, University of Bern, Sidlerstrasse 5, 3012 Bern, Switzerland |
| |
Abstract: | We prove large deviation results for sums of heavy-tailed random elements in rather general convex cones being semigroups equipped with a rescaling operation by positive real numbers. In difference to previous results for the cone of convex sets, our technique does not use the embedding of cones in linear spaces. Examples include the cone of convex sets with the Minkowski addition, positive half-line with maximum operation and the family of square integrable functions with arithmetic addition and argument rescaling. |
| |
Keywords: | Large deviation Convex cone Heavy-tailed distribution Embedding Random set |
本文献已被 ScienceDirect 等数据库收录! |