Exact moderate and large deviations for linear processes

DOI10.5705/SS.2012.161MaRDI QIDQ5413291zbMATH OpenOpenAlexFDO

Authors Magda Peligrad, Hailin Sang, Yunda Zhong, Wei Biao Wu

Publication date 29 April 2014

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1111.0537

zbMATH Keywords

linear processeslong memorymoderate deviationsnon-logarithmic asymptoticszone of normal convergence

Mathematics Subject Classification ID

Large deviations (60F10) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: Large and moderate deviation probabilities play an important role in many applied areas, such as insurance and risk analysis. This paper studies the exact moderate and large deviation asymptotics in non-logarithmic form for linear processes with independent innovations. The linear processes we analyze are general and therefore they include the long memory case. We give an asymptotic representation for probability of the tail of the normalized sums and specify the zones in which it can be approximated either by a standard normal distribution or by the marginal distribution of the innovation process. The results are then applied to regression estimates, moving averages, fractionally integrated processes, linear processes with regularly varying exponents and functions of linear processes. We also consider the computation of value at risk and expected shortfall, fundamental quantities in risk theory and finance.

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Cited in

(12)

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• Stochastic approximation: from statistical origin to big-data, multidisciplinary applications
• Limit theorems for linear random fields with innovations in the domain of attraction of a stable law
• Exact upper tail probabilities of random series
• Moderate deviations for stationary processes
• Exact moderate and large deviations for linear random fields
• Cramér type moderate deviations for random fields
• A local limit theorem for linear random fields
• scientific article; zbMATH DE number 7625199 (Why is no real title available?)
• Memory properties of transformations of linear processes
• Moderate deviations for estimators of financial risk under an asymmetric Laplace law
• Performance bounds for parameter estimates of high-dimensional linear models with correlated errors

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