Large deviation principles for moving average processes of real stationary sequences

DOI10.1007/s10440-008-9288-1zbMath1166.60019OpenAlexW2025144357MaRDI QIDQ1028003

Yu Miao

Publication date: 30 June 2009

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-008-9288-1

zbMATH Keywords

large deviation principlemoving average processesstationary random variables

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Large deviations (60F10)

Related Items (4)

Central limit theorems for moving average processes ⋮ Explicit bivariate rate functions for large deviations in AR(1) and MA(1) processes with Gaussian innovations ⋮ Large deviation principle for linear processes generated by real stationary sequences under the sub-linear expectation ⋮ Asymptotic distribution with random indices for linear processes

Cites Work

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• Moderate deviations for some weakly dependent random processes
• Large and moderate deviations for moving average processes
• A function space large deviation principle for certain stochastic integrals
• Large deviations for moving average processes
• Moderate deviations of empirical periodogram and non-linear functionals of moving average processes
• Moderate deviation principles for moving average processes of real stationary sequences

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