A Bernstein type inequality and moderate deviations for weakly dependent sequences (Q662816)

The purpose of this paper is to develop new methods to enlarge the interval on which the Bernstein inequality holds for some classes of weakly dependent random variables. The dependence coefficients used are weak enough to include sequences that are not necessarily strongly mixing in the traditional sense, so the results have a large applicability. Applications are given for classes of Markov chains, iterated Lipschitz models and functions of linear processes with absolutely regular innovations.