Moderate deviation principles for moving average processes of real stationary sequences

DOI10.1016/J.SPL.2005.04.038zbMATH Open1120.62071OpenAlexW1998903845MaRDI QIDQ2566716FDOQ2566716

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

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zbMATH Keywords

Moving average processesStationary sequences

Mathematics Subject Classification ID

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

Cites Work

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• Moderate deviations of dependent random variables related to CLT
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• A function space large deviation principle for certain stochastic integrals
• Large deviations for a general class of random vectors
• Moderate deviations for some weakly dependent random processes
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Cited In (9)

• Moderate deviations for linear processes generated by martingale-like random variables
• Asymptotic distribution with random indices for linear processes
• Large deviation principle for linear processes generated by real stationary sequences under the sub-linear expectation
• Large and moderate deviations for moving average processes
• Title not available (Why is that?)
• The effect of memory on functional large deviations of infinite moving average processes
• Large deviation principles for moving average processes of real stationary sequences
• Moderate deviations of empirical periodogram and non-linear functionals of moving average processes
• Central limit theorems for moving average processes

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