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 |
|---|---|
| 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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