Sharp Large Deviations for empirical correlation coefficients
Thi Truong (IDP), Marguerite Zani (IDP)
TL;DR
This paper investigates precise large deviation probabilities for Pearson's empirical correlation coefficients in spherical and Gaussian settings, providing detailed asymptotic results.
Contribution
It introduces sharp large deviation results specifically for empirical correlation coefficients under spherical and Gaussian assumptions.
Findings
Derived explicit asymptotic formulas for large deviations
Established sharp bounds for correlation coefficient probabilities
Extended classical large deviation theory to correlation coefficients
Abstract
We study Sharp Large Deviations for Pearson's empirical correlation coefficients in the Spherical and Gaussian cases
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Taxonomy
TopicsStochastic processes and financial applications · Bayesian Methods and Mixture Models · Financial Risk and Volatility Modeling