Precise large deviations for dependent subexponential variables
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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.
Original language | English |
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Journal | Bernoulli |
Volume | 27 |
Issue number | 2 |
Pages (from-to) | 1319-1347 |
Number of pages | 29 |
ISSN | 1350-7265 |
DOIs | |
Publication status | Published - 2021 |
Bibliographical note
Publisher Copyright:
© 2021 ISI/BS
- Fréchet distribution, Gumbel distribution, Large deviation probability, Maximum domain of attraction, Regular variation, Stationary sequence, Subexponential distribution
Research areas
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