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math.ST2022
Catoni-style Confidence Sequences under Infinite Variance
Sujay Bhatt, Guanhua Fang, Ping Li +1
In this paper, we provide an extension of confidence sequences for settings where the variance of the data-generating distribution does not exist or is infinite. Confidence sequenc…
math.ST2014★ 3 cited
Total variation approximations and conditional limit theorems for multivariate regularly varying random walks conditioned on ruin
Jose Blanchet, Jingchen Liu
We study a new technique for the asymptotic analysis of heavy-tailed systems conditioned on large deviations events. We illustrate our approach in the context of ruin events of mul…