May 2021 Precise large deviations for dependent subexponential variables
Thomas Mikosch, Igor Rodionov
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Bernoulli 27(2): 1319-1347 (May 2021). DOI: 10.3150/20-BEJ1276

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.

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

Information

Received: 1 April 2020; Revised: 1 August 2020; Published: May 2021
First available in Project Euclid: 24 March 2021

Digital Object Identifier: 10.3150/20-BEJ1276

Keywords: Fréchet distribution , Gumbel distribution , large deviation probability , maximum domain of attraction , regular variation , stationary sequence , subexponential distribution

Rights: Copyright © 2021 ISI/BS

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Vol.27 • No. 2 • May 2021
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