Large deviation for the empirical correlation coefficient of two Gaussian random variables

DOI10.1016/S0252-9602(07)60079-4zbMATH Open1150.60007MaRDI QIDQ925682FDOQ925682

Si Shen

Publication date: 3 June 2008

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

zbMATH Keywords

large deviationempirical correlation coefficient

Mathematics Subject Classification ID

Large deviations (60F10)

Cited In (3)

• On large deviations formulas for quadratic functions of Gaussian random variables
• Estimation of the realized (co-)volatility vector: large deviations approach
• Title not available (Why is that?)

   Recommendations

• Title not available (Why is that?) 👍 👎
• Large deviations for the empirical mean of associated random variables 👍 👎
• Large deviations of bivariate Gaussian extrema 👍 👎
• Gaussian probabilities of large deviation for fixed or increasing dimension 👍 👎
• Une inégalité de décorrélation pour la mesure gaussienne 👍 👎
• The Empirical Distribution of a Large Number of Correlated Normal Variables 👍 👎
• Title not available (Why is that?) 👍 👎
• A particular case of correlation inequality for the Gaussian measure 👍 👎
• Title not available (Why is that?) 👍 👎

This page was built for publication: Large deviation for the empirical correlation coefficient of two Gaussian random variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q925682)