Precise Large Deviations For Dependent Subexponential Variables

BERNOULLI(2021)

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摘要
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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关键词
Large deviation probability, subexponential distribution, maximum domain of attraction, Gumbel distribution, Frechet distribution, regular variation, stationary sequence
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