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Suppose that $X_1,X_2,\ldots, X_n$ are i.i.d random variables with continuous density $f(x)$, which is defined in the whole $\mathbb{R}$. Consider $$s(x)=\lim_{n\to\infty}\frac{1}{n}\log\mathbb{P}(\overline{X}>x)$$ and $T(x)=\log\mathbb{P}(X_1>x)$ Here $\overline{X}=\frac{X_1+\ldots+X_n}{n}$.

Under what assumptions is true that $$\lim_{x\to\infty}\frac{s(x)}{T(x)}=1\text{ ?}$$ For example, this holds for the Gaussian, the exponential, the symmetric exponential.

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  • $\begingroup$ Do you have an example where the limit doesn't exist or isn't 1? Note that always $s_n(x) \geq t(x)$. $\endgroup$ Commented Nov 22, 2023 at 20:55
  • $\begingroup$ Do you have a response to the answer below? $\endgroup$ Commented Nov 26, 2023 at 1:39
  • $\begingroup$ Very nice! I believe there should be something in the literature for the asymptotic behaviour of the Cramer transform. Do you know something like this? On the other hand, it is surprising that there is a necessary and sufficient condition. $\endgroup$
    – STrick
    Commented Nov 26, 2023 at 20:09
  • $\begingroup$ @Silbraz : That one can get a necessary and sufficient condition here was somewhat surprising to me as well. I do not know of anything in the literature about such asymptotic behavior (but, admittedly, I have not read much on the LDP). If you are satisfied with the answer, these guidelines may be now relevant. $\endgroup$ Commented Nov 26, 2023 at 20:31
  • $\begingroup$ @IosifPinelis I found this ratio in the literature: link.springer.com/article/10.1007/BF02213574 Look at condition (C) and Remark 1.1. $\endgroup$
    – STrick
    Commented Nov 27, 2023 at 15:43

1 Answer 1

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$\newcommand{\R}{\mathbb R}$

Proposition 1: For \begin{equation*} s(x)\sim T(x)=\ln P(X>x) \tag{00}\label{00} \end{equation*} to hold (as $x\to\infty$), it is necessary and sufficient that \begin{equation*} T(x)\sim T_0(x) \tag{10}\label{10} \end{equation*} for some real-valued concave function $T_0$.

The relation $a\sim b$ is understood here as $a/b\to1$. In particular, $a\sim b$ implies that eventually the values of $|b|$ are not in the set $\{0,\infty\}$.

Proof of Proposition 1:

Part 1: Necessity: Assume that \eqref{00} holds; in particular, this implies that $T(x)\ne-\infty$ eventually (that is, for all large enough $x>0$); it is clear that $T(x)\ne0$ eventually. We have to show that then \eqref{10} holds as well.

By Cram´er's large deviation principle (see e.g. Corollary 2.2.19), for all real $x$ \begin{equation*} s(x)=-\inf_{y\in[x,\infty)}L^*(y), \tag{20}\label{20} \end{equation*} where \begin{equation*} L^*(y):=\sup_{t\in\R}(ty-L(t)),\quad L(t):=\ln Ee^{tX}, \tag{30}\label{30} \end{equation*} $X:=X_1$.

If $L(t)=\infty$ for all real $t>0$, then $L^*(y)=0$ for all real $y\ge0$, and hence, by \eqref{20}, $s(x)=0$ for all real $x\ge0$, so that \eqref{00} will not hold.

So, without loss of generality (wlog) \begin{equation} \text{$L(t_0)<\infty$ for some real $t_0>0$, } \tag{40}\label{40} \end{equation} and then, by \eqref{30}, $L^*(y)\ge t_0y-L(t_0)\to\infty$ as $y\to\infty$. Also, the function $L^*$ is convex, being the supremum of affine functions. So, by \eqref{20}, for all large enough real $x>0$ \begin{equation*} s(x)=-L^*(x)=\ln\inf_{t\in\R}Q(x,t), \tag{20a}\label{20a} \end{equation*} where \begin{equation*} Q(x,t):=e^{-tx}M(t),\quad M(t):=Ee^{tX}. \tag{50}\label{50} \end{equation*} Letting $T_0:=-L$ in a neighborhood of $\infty$ and looking at the first equality in \eqref{20a}, we see that \eqref{00} does imply \eqref{10}, for such a real-valued concave function $T_0$, which completes the necessity part of the proof.

Part 2: Sufficiency: Assume that \eqref{10} holds for some real-valued concave function $T_0$. We have to show that then \eqref{00} holds as well.

Since $T(x)\to-\infty$ (as $x\to\infty$), \eqref{10} and the concavity of $T_0$ imply that for some $\tau\in[-\infty,0)$ we have $T_0(x)/x\to\tau$ and $T(x)/x\to\tau$. So, \eqref{40} and \eqref{20a} hold.

It also follows that there exists $\mu:=EX\in[-\infty,\infty)$. So, by Jensen's inequality, for $x>\mu$ and $t<0$ we have $Q(x,t)\ge e^{t(\mu-x)}>1=Q(x,0)$. So, for all large enough real $x$ \begin{equation*} s(x)=-L^*(x)=\ln\inf_{t\ge0}Q(x,t). \tag{20b}\label{20b} \end{equation*}

Let \begin{equation*} q(x):=P(X>x), \end{equation*} so that \begin{equation*} T(x)=\ln q(x). \tag{60}\label{60} \end{equation*} By Markov's inequality, $q(x)\le Q(x,t)$ for all real $t\ge0$. So, by \eqref{20b}, \begin{equation*} s(x)\ge T(x) \tag{70}\label{70} \end{equation*} eventually (that is, for all large enough real $x>0$).

By \eqref{50}, for real $t>0$,
\begin{equation*} \begin{aligned} M(t)=Ee^{tX}&=-\int_{-\infty}^\infty dq(u)e^{tu} \\ &=-\int_{-\infty}^\infty dq(u)\int_{-\infty}^u t\,dv\,e^{tv} \\ &=-\int_{-\infty}^\infty t\,dv\,e^{tv}\int_v^\infty dq(u) \\ &=t\int_{-\infty}^\infty \,dv\,e^{tv} q(v) \\ &=I_1+I_2, \end{aligned} \tag{80}\label{80} \end{equation*} where \begin{equation*} I_1:=t\int_{-\infty}^{x-A} \,dv\,e^{tv} q(v) \le t\int_{-\infty}^{x-A} \,dv\,e^{tv}=e^{t(x-A)}, \tag{90}\label{90} \end{equation*} \begin{equation*} I_2:=t\int_{x-A}^\infty \,dv\,e^{tv} e^{-g(v)}, \tag{100}\label{100} \end{equation*} $A$ is a real number (to be specified later), and $$g(v):=-\ln q(v)=-T(v).$$ Let $$g_0(v):=-T_0(v).$$

The function $g_0$ is convex, (strictly) increasing, $>0$, and $<\infty$ in a neighborhood of $\infty$ -- say on the interval \begin{equation*} [a,\infty) \end{equation*} for some real $a$. So, $g_0'>0$ on $[a,\infty)$, where $g_0'$ is (say) the right derivative of the convex function $g_0$. In what follows, by default $x\in[a,\infty)$.

Take now any $c\in(0,1)$ and let
\begin{equation*} A:=A(x):=\frac{cg_0(x)}{g_0'(x)}, \tag{110}\label{110} \end{equation*} so that eventually $A>0$. Note also that, by the convexity of $g_0$ on $[a,\infty)$, we have $(x-a)g_0'(x)\ge g_0(x)-g_0(a)$ (for $x\in[a,\infty)$), that is, $xg_0'(x)-g_0(x)\ge ag_0'(x)-g_0(a)$, so that
\begin{equation*} x-A=(1-c)x+c\frac{xg_0'(x)-g_0(x)}{g_0'(x)} \\ \ge(1-c)x+c\frac{ag_0'(x)-g_0(a)}{g_0'(x)}. \tag{120}\label{120} \end{equation*} Also, again by the convexity of $g_0$ on $[a,\infty)$, there exists $g_0(\infty):=\lim_{x\to\infty}g_0'(x)\in(0,\infty]$. So, by \eqref{120}, $x-A\to\infty$ and hence wlog $x-A\ge a$, which will be assumed by default in the sequel.

Let now \begin{equation*} k(x):=\inf_{v\in[x-A,\infty)}\frac{g(v)}{g_0(v)}, \tag{130}\label{130} \end{equation*} so that, in view of \eqref{10} and because $x-A\to\infty$, we have \begin{equation*} k(x)\to1. \tag{140}\label{140} \end{equation*}

Now comes the crucial point, which is choosing the value of $t$ as follows: \begin{equation*} t:=t(x):=k(x)g_0'(x)-\frac1A=\frac{ck(x)g_0(x)-1}A. \tag{150}\label{150} \end{equation*}

Using the convexity of $g_0$ on $[a,\infty)$ again, we have \begin{equation*} g_0(v)\ge h_x(v):=g_0(x)+g_0'(x)(v-x) \end{equation*} for real $v\ge x-A$. So,
by \eqref{100}, \eqref{130}, \eqref{150}, \eqref{140}, and \eqref{10}, \begin{equation*} e^{-tx}I_2\le \int_{x-A}^\infty \,dv\,e^{tv} e^{-k(x)h_x(v)} \\ =e^{-k(x)g_0(x)+1}(ck(x)g_0(x)-1)=e^{-k(x)g_0(x)(1+o(1))}=q(x)^{1+o(1)} \tag{160}\label{160} \end{equation*} (as $x\to\infty$). Also, by \eqref{90} and \eqref{150}, \begin{equation*} e^{-tx}I_1\le e^{-tA}=e^{-ck(x)g_0(x)+1}=eq(x)^{ck(x)}. \end{equation*} In view of \eqref{140} and because $c\in(0,1)$ was arbitrary, we now get \begin{equation*} e^{-tx}I_1\le q(x)^{1+o(1)}. \tag{170}\label{170} \end{equation*} It follows from \eqref{20b}, \eqref{50}, \eqref{80}, \eqref{170}, \eqref{160}, and \eqref{60} that \begin{equation*} s(x)\le\ln\big(q(x)^{1+o(1)}\big)\sim\ln q(x)=T(x). \tag{180}\label{180} \end{equation*} Finally, \eqref{00} follows from \eqref{70} and \eqref{180}.

This completes the sufficiency part of the proof as well. $\quad\Box$

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    $\begingroup$ Hi Iosif, I think the question is asking in which cases it holds. $\endgroup$ Commented Nov 22, 2023 at 14:39
  • $\begingroup$ @JamesMartin : Thank you for your comment. I have now written a completely different answer. $\endgroup$ Commented Nov 23, 2023 at 7:09
  • $\begingroup$ It should be clear that, for (3) to hold, the tail function $𝑞$ should vary regularly enough. - was not so clear to me. Do you have any example of it not holding with $L(t)$ finite for some positive $t$? $\endgroup$
    – Kostya_I
    Commented Nov 23, 2023 at 7:22
  • $\begingroup$ @Kostya_I : Thank you for your comment. I have added details on this. $\endgroup$ Commented Nov 23, 2023 at 7:59
  • $\begingroup$ @Kostya_I : Now we have a necessary and sufficient condition. $\endgroup$ Commented Nov 23, 2023 at 15:14

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