Precise large deviations for dependent subexponential variables
Probability
2020-09-15 v1
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.
Cite
@article{arxiv.2009.05790,
title = {Precise large deviations for dependent subexponential variables},
author = {Thomas Mikosch and Igor Rodionov},
journal= {arXiv preprint arXiv:2009.05790},
year = {2020}
}