Search Results - subject:"large deviation"

Distribution of maximum loss of fractional Brownian motion with drift

Caglar, Mine; Vardar-Acar, Ceren - In: Statistics & Probability Letters 83 (2013) 12, pp. 2729-2734

In this paper, we find bounds on the distribution of the maximum loss of fractional Brownian motion with H≥1/2 and derive estimates on its tail probability. Asymptotically, the tail of the distribution of maximum loss over [0,t] behaves like the tail of the marginal distribution at time t.

Persistent link: https://www.econbiz.de/10011040130

Large deviations for posterior distributions on the parameter of a multivariate <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$\text{ AR}(p)$$</EquationSource> </InlineEquation> process

Macci, Claudio; Trapani, Stefano - In: Annals of the Institute of Statistical Mathematics 65 (2013) 4, pp. 703-719

We prove the large deviation principle for the posterior distributions on the (unknown) parameter of a multivariate …

Persistent link: https://www.econbiz.de/10011000077

Moderate and large deviation principles for the hazard rate function kernel estimator under censoring

Diallo, Amadou Oury Korbe; Louani, Djamal - In: Statistics & Probability Letters 83 (2013) 3, pp. 735-743

This paper is devoted to pointwise large and moderate deviation principles for the hazard rate function kernel estimator in the right censorship setting. Using the contraction principle and an exponential equivalence, the results are derived as by-products from large and moderate deviation...

Persistent link: https://www.econbiz.de/10010616884

Exit times for multivariate autoregressive processes

Jung, Brita - In: Stochastic Processes and their Applications 123 (2013) 8, pp. 3052-3063

. By using the large deviation principle, and other methods, we show that the asymptotic behavior of the exit time depends …

Persistent link: https://www.econbiz.de/10010679229

On strong large deviation results for lightly trimmed sums and some applications

Vasudeva, R.; Srilakshminarayana, G. - In: Statistics & Probability Letters 83 (2013) 7, pp. 1745-1753

We obtain here the large deviation results for trimmed sums ((r)Sn) of i.i.d. random variables (Xn), with the …

Persistent link: https://www.econbiz.de/10010665599

Multi-period conditional distribution functions for heteroscedastic models with applications to VaR.

Brummelhuis, Raymond; Guegan, Dominique - HAL - 2005

For a GARCH(1,1) process, we study the large deviation asymptotics at the horizon k and their consequences for extreme …

Persistent link: https://www.econbiz.de/10008792107

The Optimal Mortgage Loan Portfolio in UK Regional Residential Real Estate

Cho, Youngha; Hwang, Soosung; Satchell, Steve - In: The Journal of Real Estate Finance and Economics 45 (2012) 3, pp. 645-677

In this study, we propose a method based on large deviation theory (LDT), which minimises credit risk (expected loss …

Persistent link: https://www.econbiz.de/10010866892

Moments, moderate and large deviations for a branching process in a random environment

Huang, Chunmao; Liu, Quansheng - In: Stochastic Processes and their Applications 122 (2012) 2, pp. 522-545

Let (Zn) be a supercritical branching process in a random environment ξ, and W be the limit of the normalized population size Zn/E[Zn|ξ]. We show large and moderate deviation principles for the sequence logZn (with appropriate normalization). For the proof, we calculate the critical value for...

Persistent link: https://www.econbiz.de/10011064888

Large deviations of realized volatility

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

financial data. We establish a large deviation principle for the realized volatility when the number of high frequency … observations in a fixed time interval increases to infinity. Our large deviation result can be used to evaluate tail probabilities … existing asymptotic theory on high frequency data. In addition, the paper contributes to the literature of large deviation …

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

Effect of truncation on large deviations for heavy-tailed random vectors

Chakrabarty, Arijit - In: Stochastic Processes and their Applications 122 (2012) 2, pp. 623-653

This paper studies the effect of truncation on the large deviations behavior of the partial sum of a triangular array coming from a truncated power law model. Each row of the triangular array consists of i.i.d. random vectors, whose distribution matches a power law on a ball of radius going to...

Persistent link: https://www.econbiz.de/10010574717