Precise large deviations for dependent subexponential variables
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Precise large deviations for dependent subexponential variables. / Mikosch, Thomas; Rodionov, Igor.
I: Bernoulli, Bind 27, Nr. 2, 2021, s. 1319-1347.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Precise large deviations for dependent subexponential variables
AU - Mikosch, Thomas
AU - Rodionov, Igor
N1 - Publisher Copyright: © 2021 ISI/BS
PY - 2021
Y1 - 2021
N2 - 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.
AB - 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.
KW - Fréchet distribution
KW - Gumbel distribution
KW - Large deviation probability
KW - Maximum domain of attraction
KW - Regular variation
KW - Stationary sequence
KW - Subexponential distribution
UR - http://www.scopus.com/inward/record.url?scp=85104326684&partnerID=8YFLogxK
U2 - 10.3150/20-BEJ1276
DO - 10.3150/20-BEJ1276
M3 - Journal article
AN - SCOPUS:85104326684
VL - 27
SP - 1319
EP - 1347
JO - Bernoulli
JF - Bernoulli
SN - 1350-7265
IS - 2
ER -
ID: 302074170