Moderate deviation principles for moving average processes of real stationary sequences

DOI10.1016/J.SPL.2005.04.038MaRDI QIDQ2566716zbMATH OpenOpenAlexFDO

Authors Xili Tan, Zhishan 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

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

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Cites work

• A function space large deviation principle for certain stochastic integrals
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• scientific article; zbMATH DE number 1471897 (Why is no real title available?)
• scientific article; zbMATH DE number 2121923 (Why is no real title available?)
• scientific article; zbMATH DE number 3285848 (Why is no real title available?)
• Large deviations for a general class of random vectors
• Moderate deviations for some weakly dependent random processes
• Moderate deviations of dependent random variables related to CLT

Cited in

(9)

• The effect of memory on functional large deviations of infinite moving average processes
• Large deviation principles for moving average processes of real stationary sequences
• Large and moderate deviations for moving average processes
• Central limit theorems for moving average processes
• Moderate deviations of empirical periodogram and non-linear functionals of moving average processes
• scientific article; zbMATH DE number 1471897 (Why is no real title available?)
• Asymptotic distribution with random indices for linear 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

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