The effect of memory on functional large deviations of infinite moving average processes

被引：3
作者：
Ghosh, Souvik [1 ]
Samorodnitsky, Gennady [1 ]
机构：
[1] Cornell Univ, Sch ORIE, Ithaca, NY 14853 USA
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2009年 / 119卷 / 02期
关键词：
Large deviations; Long range dependence; Long memory; Moving average; Rate function; Speed function; DEPENDENT RANDOM-PROCESSES; BOUNDS;
D O I：
10.1016/j.spa.2008.02.013
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The large deviations of an infinite moving average process with exponentially light tails are very similar to those of an i.i.d. sequence as long as the coefficients decay fast enough. If they do not, the large deviations change dramatically. We study this phenomenon in the context of functional large, moderate and huge deviation principles. (C) 2008 Elsevier B.V. All rights reserved.
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页码：534 / 561
页数：28
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