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

Souvik Ghosh and Gennady Samorodnitsky

Stochastic Processes and their Applications, 2009, vol. 119, issue 2, 534-561

Abstract: 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.

Keywords: Large; deviations; Long; range; dependence; Long; memory; Moving; average; Rate; function; Speed; function (search for similar items in EconPapers)
Date: 2009
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