Functional moderate deviations for triangular arrays and applications

MaRDI QIDQ3623892zbMATH OpenFDO

Authors Florence Merlevède, Magda Peligrad

Publication date 27 April 2009

Full work available at URL https://arxiv.org/abs/0805.0617

zbMATH Keywords

strong mixingmoderate deviationstriangular arraysindependent random variablesinvariance principle

Mathematics Subject Classification ID

Large deviations (60F10) Sums of independent random variables; random walks (60G50)

Abstract: Motivated by the study of dependent random variables by coupling with independent blocks of variables, we obtain first sufficient conditions for the moderate deviation principle in its functional form for triangular arrays of independent random variables. Under some regularity assumptions our conditions are also necessary in the stationary case. The results are then applied to derive moderate deviation principles for linear processes, kernel estimators of a density and some classes of dependent random variables.

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Cited in

(3)

• Large and moderate deviations for the left random walk on \(GL_d(\mathbb{R})\)
• Moderate deviations for linear processes generated by martingale-like random variables
• A moderate deviation principle for \(m\)-dependent random variables with unbounded \(m\)

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