Non-central moderate deviations for compound fractional Poisson processes

DOI10.1016/J.SPL.2022.109424MaRDI QIDQ2128927zbMATH OpenOpenAlexFDO

Authors Claudio Macci, L. Beghin

Publication date 22 April 2022

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2109.07862

zbMATH Keywords

inverse of a subordinatorMittag-Leffler functionnon-central moderate deviationsweak convergence

Mathematics Subject Classification ID

Mittag-Leffler functions and generalizations (33E12) Central limit and other weak theorems (60F05) Large deviations (60F10) Fractional processes, including fractional Brownian motion (60G22)

Abstract: The term "moderate deviations" is often used in the literature to mean a class of large deviation principles that, in some sense, fill the gap between a convergence in probability to zero (governed by a large deviation principle) and a weak convergence to a centered Normal distribution. We talk about "non-central moderate deviations" when the weak convergence is towards a non-Gaussian distribution. In this paper we study non-central moderate deviations for compound fractional Poisson processes with light-tailed jumps.

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Cited in

(6)

• Large deviations for a class of tempered subordinators and their inverse processes
• Some examples of noncentral moderate deviations for sequences of real random variables
• Noncentral moderate deviations for fractional Skellam processes
• Noncentral moderate deviations for time-changed multivariate Lévy processes with linear combinations of inverse stable subordinators
• A unified approach to compound Poisson process and its time-fractional versions
• Noncentral moderate deviations for time-changed Lévy processes with inverse of stable subordinators

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