Rare event simulation : Pierre Nyquist
From Belle Taylor
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Name: Pierre Nyquist
Talk Title: A large deviations analysis of piecewise deterministic Markov processes for MCMC
Abstract: In this talk, we study precise large deviations for the partial sums of a stationary m-dependent sequence with a subexponential marginal distribution. Our main focus is on distributions which either have a regularly varying or a lognormal-type tail. We apply the results to prove limit theory for the maxima of the entries of the large sample covariance matrices.
This talk is based on the joint work with Thomas Mikosch.
This talk is an invited talk for EVA 2021