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Please use this identifier to cite or link to this item: http://hdl.handle.net/1813/13343
Title: Large deviations for point processes based on stationary sequences with heavy tails
Authors: Hult, Henrik
Samorodnitsky, Gennady
Keywords: stationary sequence
regular variation
large deviations
point process
Issue Date: 4-Aug-2009
Abstract: In this paper we propose a framework that enables the study of large deviations for point processes based on stationary sequences with regularly varying tails. This framework allows us to keep track not of the magnitude of the extreme values of a process, but also of the order in which these extreme values appear. Particular emphasis is put on (infinite) linear processes with random coefficients. The proposed framework provide a rather complete description of the joint asymptotic behavior of the large values of the stationary sequence. We apply the general result on large deviations for point processes to derive the asymptotic decay of partial sum processes as well as ruin probabilities.
URI: http://hdl.handle.net/1813/13343
Appears in Collections:ORIE Technical Reports

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