Large deviations for heavy-tailed factor models

Jens Svensson; Boualem Djehiche

doi:10.1016/j.spl.2008.08.011

Large deviations for heavy-tailed factor models

Jens Svensson, Boualem Djehiche

Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract

We study large deviation probabilities for a sum of dependent random variables from a heavy-tailed factor model, assuming that the components are regularly varying. Depending on the regions considered, probabilities are determined by different parts of the model.

Original language	English (US)
Pages (from-to)	304-311
Number of pages	8
Journal	Statistics and Probability Letters
Volume	79
Issue number	3
DOIs	https://doi.org/10.1016/j.spl.2008.08.011
State	Published - Feb 1 2009

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1016/j.spl.2008.08.011

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abstract = "We study large deviation probabilities for a sum of dependent random variables from a heavy-tailed factor model, assuming that the components are regularly varying. Depending on the regions considered, probabilities are determined by different parts of the model.",

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Large deviations for heavy-tailed factor models

Abstract

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