Moderate deviation principles for moving average processes of real stationary sequences

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

zbMATH Keywords

Moving average processesStationary sequences

Mathematics Subject Classification ID

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

Related Items

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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