Mikosch, Thomas and Rodionov, Igor (2021) Precise large deviations for dependent subexponential variables. Bernoulli, 27 (2). pp. 1319-1347. DOI https://doi.org/10.3150/20-bej1276
Mikosch, Thomas and Rodionov, Igor (2021) Precise large deviations for dependent subexponential variables. Bernoulli, 27 (2). pp. 1319-1347. DOI https://doi.org/10.3150/20-bej1276
Mikosch, Thomas and Rodionov, Igor (2021) Precise large deviations for dependent subexponential variables. Bernoulli, 27 (2). pp. 1319-1347. DOI https://doi.org/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.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Fréchet distribution, Gumbel distribution, large deviation probability, maximum domain of attraction, regular variation, stationary sequence, subexponential distribution |
| Divisions: | Faculty of Science and Health Faculty of Science and Health > Mathematics, Statistics and Actuarial Science, School of |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 07 Jul 2026 13:47 |
| Last Modified: | 07 Jul 2026 13:48 |
| URI: | http://repository.essex.ac.uk/id/eprint/36203 |
Available files
Filename: The journal version.pdf