We analyze the \textit{ Large Deviation Probability (LDP)} of linear factor models generated from non-identically distributed components with \textit{ regularly-varying} tails, a large subclass of heavy tailed distributions. An efficient sampling method for LDP estimation of this class is introduced and theoretically shown to exponentially outperform the crude Monte-Carlo estimator, in terms of the coverage probability and the confidence interval's length. The theoretical results are empirically validated through stochastic simulations on independent non-identically Pareto distributed factors. The proposed estimator is available as part of a more comprehensive \texttt{ Betta} package.
Categories: math.ST stat.TH