Search Results - subject:"Moderate deviation"

Kanaya, Shin; Otsu, Taisuke - In: Stochastic Processes and their Applications 122 (2012) 2, pp. 546-581

This paper studies large and moderate deviation properties of a realized volatility statistic of high frequency … of the realized volatility. We also derive a moderate deviation rate function for a standardized realized volatility … statistic. The moderate deviation result is useful for assessing the validity of normal approximations based on the central …

Persistent link: https://www.econbiz.de/10010574715

Moderate deviations for a risk model based on the customer-arrival process

Shen, Xinmei; Zhang, Yi - In: Statistics & Probability Letters 82 (2012) 1, pp. 116-122

In this paper, we investigate the moderate deviations for a customer-arrival-based insurance risk model, in which customer’s actual claim sizes are described as independent and identically distributed heavy-tailed random variables multiplying a shot function, and the model can be treated as a...

Persistent link: https://www.econbiz.de/10010582245

Asymptotic behavior and the moderate deviation principle for the maximum of a Dyck path

Kousha, Termeh - In: Statistics & Probability Letters 82 (2012) 2, pp. 340-347

In this work, we obtain a large and moderate deviation principle for the law of the maximum of a random Dyck path. Our …

Persistent link: https://www.econbiz.de/10010571827

Asymptotic behavior of the empirical conditional value-at-risk

Gao, Fuqing; Wang, Shaochen - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 345-352

, the law of iterated logarithm, the moderate deviation principle and the large deviation principle for the empirical CVaR …

Persistent link: https://www.econbiz.de/10010576726

Large and Moderate Deviations for Estimators of Quadratic Variational Processes of Diffusions

Djellout, Hacène; Guillin, Arnaud; Wu, Liming - In: Statistical Inference for Stochastic Processes 2 (1999) 3, pp. 195-225

Persistent link: https://www.econbiz.de/10005184590