Precise large deviations for dependent subexponential variables

Thomas Mikosch; Igor Rodionov

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arXiv · 2009.05790

Precise large deviations for dependent subexponential variables

Thomas Mikosch·Igor Rodionov

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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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BibTeX RIS

Thomas Mikosch, Igor Rodionov. 2020-09-12. Precise large deviations for dependent subexponential variables. https://arxiv.org/abs/2009.05790

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