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Precise large deviations for dependent regularly varying sequences | | Thomas Mikosch
; Olivier Wintenberger
; | | Date: |
7 Jun 2012 | | Abstract: | We study a precise large deviation principle for a stationary regularly
varying sequence of random variables. This principle extends the classical
results of A.V. Nagaev (1969) and S.V. Nagaev (1979) for iid regularly varying
sequences. The proof uses an idea of Jakubowski (1993,1997) in the context of
centra limit theorems with infinite variance stable limits. We illustrate the
principle for sv models, functions of a Markov chain satisfying a polynomial
drift condition and solutions of linear and non-linear stochastic recurrence
equations. | | Source: | arXiv, 1206.1395 | | Services: | Forum | Review | PDF | Favorites | |
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