3 papers
math.PR2011
Effect of truncation on large deviations for heavy-tailed random vectors
Arijit Chakrabarty
This paper studies the effect of truncation on the large deviations behavior of the partial sum of a triangular array coming from a truncated power law model. Each row of the trian…
math.ST2010
Asymptotic normality of Hill Estimator for truncated data
Arijit Chakrabarty
The problem of estimating the tail index from truncated data is addressed in Chakrabarty and Samorodnitsky (2009). In that paper, a sample based (and hence random) choice of k is s…
math.PR2010
Tempered stable laws as random walk limits
Arijit Chakrabarty, Mark M. Meerschaert
Stable laws can be tempered by modifying the Lévy measure to cool the probability of large jumps. Tempered stable laws retain their signature power law behavior at infinity, and in…