Time Series: Igor Rodionov
From Belle Taylor on July 3rd, 2021
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Name: Igor Rodionov
Talk Title: Precise large deviations for m-dependent subexponential sequences
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 a contributed talk at EVA 2021.