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

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.

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Year of publication:	2009
Authors:	Ghosh, Souvik ; Samorodnitsky, Gennady
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 119.2009, 2, p. 534-561
Publisher:	Elsevier
Keywords:	Large deviations Long range dependence Long memory Moving average Rate function Speed function

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874427