Large Deviations for Heavy-Tailed Factor Models

@misc{citeulike:2155833, abstract = {We study large deviation probabilities for a sum of dependent random variables from a heavy-tailed factor model, assuming that the components are regularly varying. We identify conditions where both the factor and the idiosyncratic terms contribute to the behaviour of the tail-probability of the sum. A simple conditional Monte Carlo algorithm is also provided together with a comparison between the simulations and the large deviation approximation. We also study large deviation probabilities for stochastic processes with factor structure. The processes involved are assumed to be Levy processes with regularly varying jump measures. Based on the results of the first part of the paper, we show that large deviations on a finite time interval are due to one large jump that can come from either the factor or the idiosyncratic part of the process.}, author = {Djehiche, Boualem and Svensson, Jens }, citeulike-article-id = {2155833}, eprint = {0712.0459}, keywords = {factor, math, mathematics, model, probability, statistics}, month = {Dec}, posted-at = {2007-12-21 15:23:13}, priority = {2}, title = {Large Deviations for Heavy-Tailed Factor Models}, url = {http://arxiv.org/abs/0712.0459}, year = {2007} }

TY - ELEC ID - citeulike:2155833 L3 - citeulike-article-id:2155833 TI - Large Deviations for Heavy-Tailed Factor Models N2 - We study large deviation probabilities for a sum of dependent random variables from a heavy-tailed factor model, assuming that the components are regularly varying. We identify conditions where both the factor and the idiosyncratic terms contribute to the behaviour of the tail-probability of the sum. A simple conditional Monte Carlo algorithm is also provided together with a comparison between the simulations and the large deviation approximation. We also study large deviation probabilities for stochastic processes with factor structure. The processes involved are assumed to be Levy processes with regularly varying jump measures. Based on the results of the first part of the paper, we show that large deviations on a finite time interval are due to one large jump that can come from either the factor or the idiosyncratic part of the process. KW - factor KW - math KW - mathematics KW - model KW - probability KW - statistics AU - Djehiche, Boualem AU - Svensson, Jens PY - 2007/Dec/04/ UR - http://arxiv.org/abs/0712.0459 ER -