Note on functional large deviation principle for fractional ARIMA processes

DOI10.1023/A:1009984824156zbMath0916.60026OpenAlexW2604043797MaRDI QIDQ1281921

Philippe Barbe, Michel Broniatowski

Publication date: 1998

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009984824156

zbMATH Keywords

large deviationsfractional calculusARIMA processessequential empirical measure

Mathematics Subject Classification ID

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

Related Items (2)

An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes ⋮ The effect of memory on functional large deviations of infinite moving average processes

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