Moderate deviation principles for moving average processes of real stationary sequences
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Publication:2566716
DOI10.1016/j.spl.2005.04.038zbMath1120.62071OpenAlexW1998903845MaRDI QIDQ2566716
Xi-li Tan, Zhi Shan Dong, Xiao-Yun Yang
Publication date: 28 September 2005
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2005.04.038
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Large deviations (60F10)
Related Items (6)
Central limit theorems for moving average processes ⋮ Large deviation principle for linear processes generated by real stationary sequences under the sub-linear expectation ⋮ Moderate deviations for linear processes generated by martingale-like random variables ⋮ The effect of memory on functional large deviations of infinite moving average processes ⋮ Large deviation principles for moving average processes of real stationary sequences ⋮ Asymptotic distribution with random indices for linear processes
Cites Work
- Large deviations for a general class of random vectors
- Moderate deviations for some weakly dependent random processes
- A function space large deviation principle for certain stochastic integrals
- Moderate deviations of dependent random variables related to CLT
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