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

DOI10.3934/PUQR.2023008zbMATH Open1524.60060arXiv2102.09637OpenAlexW4287326187MaRDI QIDQ6090953FDOQ6090953

Sílvia R. C. Lopes, Maicon J. Karling, A. O. Lopes

Publication date: 21 November 2023

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

Abstract: We investigate large deviations properties for centered stationary AR(1) and MA(1) processes with independent Gaussian innovations, by giving the explicit bivariate rate functions for the sequence of random vectors $$. In the AR(1) case, we also give the explicit rate function for the bivariate random sequence $(W_n{)}_{ngeq2}=left(n^{-1}(su{m}_{k=1}^n{X}_k^2,su{m}_{k=2}^n{X}_k{X}_{k+1})ight{)}_{ngeq2}$. Via Contraction Principle, we provide explicit rate functions for the sequences $(n^{-1}su{m}_{k=1}^n{X}_k{)}_{ninN}$, $(n^{-1}su{m}_{k=1}^n{X}_k^2{)}_{ngeq2}$ and $(n^{-1}su{m}_{k=2}^n{X}_k{X}_{k+1}{)}_{ngeq2}$, as well. In the AR(1) case, we present a new proof for an already known result on the explicit deviation function for the Yule-Walker estimator.

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

zbMATH Keywords

large deviationsautoregressive processesToeplitz matricessample momentsmoving average processesYule-Walker estimatorempirical autocovariance

Mathematics Subject Classification ID

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

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