Explicit bivariate rate functions for large deviations in AR(1) and MA(1) processes with Gaussian innovations

DOI10.3934/puqr.2023008zbMath1524.60060arXiv2102.09637OpenAlexW4287326187MaRDI QIDQ6090953

Sílvia R. C. Lopes, Maicon J. Karling, Artur Oscar Lopes

Publication date: 21 November 2023

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.09637

zbMATH Keywords

large deviationsautoregressive processesToeplitz matricesYule-Walker estimatorsample momentsmoving average processesempirical autocovariance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Large deviations (60F10)

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