Explicit bivariate rate functions for large deviations in AR(1) and MA(1) processes with Gaussian innovations
From MaRDI portal
Publication:6090953
DOI10.3934/puqr.2023008zbMath1524.60060arXiv2102.09637OpenAlexW4287326187MaRDI QIDQ6090953
Sílvia R. C. Lopes, Maicon J. Karling, Artur Oscar 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
large deviationsautoregressive processesToeplitz matricesYule-Walker estimatorsample momentsmoving average processesempirical autocovariance
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Large deviations (60F10)
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