Large deviations for point processes based on stationary sequences with heavy tails
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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.
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- Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations
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- Limit theory for U-statistics under geometric and topological constraints with rare events
- Stable random fields, point processes and large deviations
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- Large deviations and almost sure convergence for the extremes of branching Lévy processes with regularly varying tails
- Marginal expected shortfall inference under multivariate regular variation
- Extremal behaviour of models with multivariate random recurrence representation
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