Large and moderate deviations for moving average processes

DOI10.5802/afst.982zbMath1002.60028OpenAlexW2322091505MaRDI QIDQ1612799

Arnaud Guillin, Hacène Djellout

Publication date: 1 January 2003

Published in: Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AFST_2001_6_10_1_23_0

zbMATH Keywords

large deviationsmoving average processmoderate deviationsHoeffding inequalitygood rate function

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Large deviations (60F10)

Related Items (8)

Central limit theorems for moving average processes ⋮ Deviation inequalities and moderate deviations for estimators of parameters in bifurcating autoregressive models ⋮ Explicit bivariate rate functions for large deviations in AR(1) and MA(1) processes with Gaussian innovations ⋮ Moderate deviations for linear processes generated by martingale-like random variables ⋮ Exact moderate and large deviations for linear random fields ⋮ The effect of memory on functional large deviations of infinite moving average processes ⋮ Large deviation principles for moving average processes of real stationary sequences ⋮ Asymptotic distribution with random indices for linear processes

Cites Work

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• Large deviations for some weakly dependent random processes
• Large deviations for stationary Gaussian processes
• Moderate deviations for some weakly dependent random processes
• Large deviations for moving average processes
• On Talagrand's deviation inequalities for product measures
• Probability Inequalities for Sums of Bounded Random Variables

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