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

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

Authors: Si Shen 

Publication date: 3 June 2008

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

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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?)

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