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

DOI10.3934/PUQR.2023008MaRDI QIDQ6090953zbMATHOpenAlexFDO

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

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.

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