Functional large deviations for multivariate regularly varying random walks

Annals of Applied Probability

Volumn 15, Issue 4, 2005, Pages 2651-2680

  Hult, Henrik ^a   Lindskog, Filip ^b   Mikosch, Thomas ^c   Samorodnitsky, Gennady ^a  

^a Cornell University   (United States)

^b UNIVERSITY OF COPENHAGEN   (Denmark)

^c ROYAL INSTITUTE OF TECHNOLOGY   (Sweden)

Author keywords

Functional limit theorems; Large deviations; Random walks; Regular variation

Indexed keywords

EID: 30844459420     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/105051605000000502     Document Type: Review

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