Moderate deviations for non-linear functionals and empirical spectral density of moving average processes
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Publication:6474045
DOI10.1016/J.ANIHPB.2005.04.006arXivmath/0405521MaRDI QIDQ6474045FDOQ6474045
Authors: Hacène Djellout, Arnaud Guillin, Liming Wu 
Publication date: 27 May 2004
Abstract: A moderate deviation principle for functionals, with at most quadratic growth, of moving average processes is established. The main assumptions on the moving average process are a Logarithmic Sobolev inequality for the driving random variables and the continuity, or weaker, of the spectral density of the moving average process. We also obtain the moderate deviations for the empirical spectral density, exhibiting an interesting new form of the rate function, i.e. with a correction term compared to the Gaussian rate functionnal.
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