Large deviations for sums of multivariate stretched-exponential random variables: the few-big-jumps principle

Large deviations for sums of i.i.d.\ random variables with stretched-exponential tails (also called Weibull or semi-exponential tails) have been well understood since the 60’s, going back to Nagaev’s seminal work. Many extensions in the 1-dimensional setting have been developed since then, showing that such deviations are typically governed by a single big jump. In higher dimensions, a corresponding theory has remained largely undeveloped.

This work provides a multivariate extension and establishes large deviation results for sums of i.i.d.\ random vectors in $\mathbb{R}^k$ under fairly general assumptions. Roughly speaking, for some $\alpha\in(0,1)$, the log-probability of one random vector divided by $x$ exceeding a threshold $t$ in all components behaves asymptotically, for large $x$, as $x^\alpha$ times a negative infimum of a function $\mathcal{J}$. We prove large deviation results for sums of i.i.d.\ copies, where the rate function is given by a minimization of at most $k$ summands of $\mathcal{J}$. This establishes a few-big-jumps principle that generalizes the classical 1-dimensional phenomenon: the deviation is typically realized by at most $k$ independent vectors.

The results are applied to absolute powers of multivariate Gaussian vectors as well as to various other examples. They also allow us to study random projections of high-dimensional $\ell_p^N$-balls, revealing interesting insights about the appearance of light- and heavy-tailed distributions in high-dimensional geometry.

Citation: N. Gantert, J. Prochno, and P. Tuchel (2026). "Large deviations for sums of multivariate stretched-exponential random variables: the few-big-jumps principle." arXiv preprint. arXiv:2602.01168.
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