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Precise large deviations for dependent subexponential variables

Authors :
Mikosch, Thomas
Rodionov, Igor
Mikosch, Thomas
Rodionov, Igor
Source :
Mikosch , T & Rodionov , I 2021 , ' Precise large deviations for dependent subexponential variables ' , Bernoulli , vol. 27 , no. 2 , pp. 1319-1347 .
Publication Year :
2021

Abstract

In this paper, we study precise large deviations for the partial sums of a stationary sequence with a subexponential marginal distribution. Our main focus is on distributions which either have a regularly varying or a lognormal-type tail. We apply the results to prove limit theory for the maxima of the entries large sample covariance matrices.

Details

Database :
OAIster
Journal :
Mikosch , T & Rodionov , I 2021 , ' Precise large deviations for dependent subexponential variables ' , Bernoulli , vol. 27 , no. 2 , pp. 1319-1347 .
Notes :
application/pdf, English
Publication Type :
Electronic Resource
Accession number :
edsoai.on1340142603
Document Type :
Electronic Resource