Large deviations for heavy-tailed factor models

Jens Svensson and Boualem Djehiche

Statistics & Probability Letters, 2009, vol. 79, issue 3, 304-311

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.

Date: 2009
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