Large deviations for heavy-tailed factor models

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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Year of publication:	2009
Authors:	Svensson, Jens ; Djehiche, Boualem
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 3, p. 304-311
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254255