The Discounted Large Deviation Principle for Autoregressive Processes
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Publication:3017857
DOI10.1080/03610926.2010.484154zbMath1233.62159MaRDI QIDQ3017857
Publication date: 20 July 2011
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2010.484154
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G10: Stationary stochastic processes
60F10: Large deviations
Related Items
Moderate Deviation Principles for Empirical Covariance in the Neighbourhood of the Unit Root, Asymptotic normality of autoregressive processes, The Discounted Berry-Esséen Analogue for Autoregressive Processes
Cites Work
- Moderate deviation principle for autoregressive processes
- Large deviations for stationary Gaussian processes
- A general lemma on probabilities of large deviations
- Large deviations for quadratic functionals of Gaussian processes
- Large and moderate deviations for infinite-dimensional autoregressive processes.
- Some laws of the iterated logarithm in Hilbertian autoregressive models
- The discounted limit theorems
- The Discounted Central Limit Theorem and its Berry-Esseen Analogue