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

Harvard

Mikosch, T & Rodionov, I 2021, 'Precise large deviations for dependent subexponential variables', Bernoulli, bind 27, nr. 2, s. 1319-1347. https://doi.org/10.3150/20-BEJ1276

APA

Mikosch, T., & Rodionov, I. (2021). Precise large deviations for dependent subexponential variables. Bernoulli, 27(2), 1319-1347. https://doi.org/10.3150/20-BEJ1276

Vancouver

Mikosch T, Rodionov I. Precise large deviations for dependent subexponential variables. Bernoulli. 2021;27(2):1319-1347. https://doi.org/10.3150/20-BEJ1276

Author

Mikosch, Thomas ; Rodionov, Igor. / Precise large deviations for dependent subexponential variables. I: Bernoulli. 2021 ; Bind 27, Nr. 2. s. 1319-1347.

Bibtex

@article{1e27cad35a6449358ca3d1f60a93f6de,
title = "Precise large deviations for dependent subexponential variables",
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.",
keywords = "Fr{\'e}chet distribution, Gumbel distribution, Large deviation probability, Maximum domain of attraction, Regular variation, Stationary sequence, Subexponential distribution",
author = "Thomas Mikosch and Igor Rodionov",
note = "Publisher Copyright: {\textcopyright} 2021 ISI/BS",
year = "2021",
doi = "10.3150/20-BEJ1276",
language = "English",
volume = "27",
pages = "1319--1347",
journal = "Bernoulli",
issn = "1350-7265",
publisher = "International Statistical Institute",
number = "2",

}

RIS

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