Multidimensional limit theorems allowing large deviations for densities of regular variation
The paper is concerned with precise asymptotics for large deviation probabilities for sums of independent and identically distributed random vectors in the domain of normal attraction, whose common distribution has a density which satisfies a regular variation condition in the tails. Amongst other results, the conditional distribution of the projection of the sum in a second direction, conditional on an extreme deviation in a given direction, is examined.
scientific article; zbMATH DE number 1241231
scientific article