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.
Originalsprog | Engelsk |
---|---|
Tidsskrift | Bernoulli |
Vol/bind | 27 |
Udgave nummer | 2 |
Sider (fra-til) | 1319-1347 |
Antal sider | 29 |
ISSN | 1350-7265 |
DOI | |
Status | Udgivet - 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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