Noncentral moderate deviations for fractional Skellam processes

DOI10.15559/23-VMSTA235MaRDI QIDQ6407719zbMATH OpenOpenAlexFDO

Authors Jeonghwa Lee, Claudio Macci

Publication date 12 August 2022

Full work available at URL https://doi.org/10.15559/23-vmsta235

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 emph{moderate deviations} is often used in the literature to mean a class of large deviation principles that, in some sense, fills 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 emph{non-central moderate deviations} when the weak convergence is towards a non-Gaussian distribution. In this paper we present non-central moderate deviation results for two fractional Skellam processes in the literature (see Kerss, Leonenko and Sikorskii, 2014). We also establish that, for the fractional Skellam process of type 2 (for which we can refer the recent results for compound fractional Poisson processes in Beghin and Macci (2022)), the convergences to zero are usually faster because we can prove suitable inequalities between rate functions.

Recommendations

• Non-central moderate deviations for compound fractional Poisson processes
• Some examples of noncentral moderate deviations for sequences of real random variables
• Asymptotic results for sums and extremes
• Moderate deviations on different scales: no relations

Cited in

(2)

• Noncentral moderate deviations for time-changed multivariate Lévy processes with linear combinations of inverse stable subordinators
• Noncentral moderate deviations for time-changed Lévy processes with inverse of stable subordinators

This page was built for publication: Noncentral moderate deviations for fractional Skellam processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6407719)