Precise large deviations for dependent subexponential variables

Publikation: Bidrag til tidsskriftTidsskriftartikelfagfællebedømt

Dokumenter

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.

OriginalsprogEngelsk
TidsskriftBernoulli
Vol/bind27
Udgave nummer2
Sider (fra-til)1319-1347
Antal sider29
ISSN1350-7265
DOI
StatusUdgivet - 2021

Bibliografisk note

Funding Information:
Thomas Mikosch’s research is partly supported by Danmarks Frie Forskningsfond Grant No 9040-00086B. Igor Rodionov’s research is partly supported by the Russian Foundation for Basic Research Grant No 19-01-00090 and by Young Russian Mathematics award.

Publisher Copyright:
© 2021 ISI/BS

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