The Discounted Large Deviation Principle for Autoregressive Processes

DOI10.1080/03610926.2010.484154zbMath1233.62159OpenAlexW2085668683MaRDI QIDQ3017857

Yu Miao

Publication date: 20 July 2011

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2010.484154

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Large deviations (60F10)

Related Items (5)

Discounted payments theorems for large deviations ⋮ Asymptotic normality of autoregressive processes ⋮ Moderate Deviation Principles for Empirical Covariance in the Neighbourhood of the Unit Root ⋮ The Discounted Berry-Esséen Analogue for Autoregressive Processes ⋮ Asymptotic distribution with random indices for linear processes

Cites Work

• Moderate deviation principle for autoregressive processes
• Large deviations for stationary Gaussian processes
• A general lemma on probabilities of large deviations
• Large deviations for quadratic functionals of Gaussian processes
• Large and moderate deviations for infinite-dimensional autoregressive processes.
• Some laws of the iterated logarithm in Hilbertian autoregressive models
• The discounted limit theorems
• The Discounted Central Limit Theorem and its Berry-Esseen Analogue

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