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Large deviations for moving average processes

Author

Listed:
  • Jiang, Tiefeng
  • Rao, M. Bhaskara
  • Wang, Xiangchen

Abstract

Let Z = {hellip;, - 1, 0, 1, ...}, [xi], [xi]n, n [epsilon] Z a doubly infinite sequence of i.i.d. random variables in a separable Banach space B, and an, n [epsilon] Z, a doubly infinite sequence of real numbers with 0 [not equal to] [summation operator]n [epsilon] zan

Suggested Citation

  • Jiang, Tiefeng & Rao, M. Bhaskara & Wang, Xiangchen, 1995. "Large deviations for moving average processes," Stochastic Processes and their Applications, Elsevier, vol. 59(2), pages 309-320, October.
    • Handle: RePEc:eee:spapps:v:59:y:1995:i:2:p:309-320
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    References listed on IDEAS

    as
    1. de Acosta, A., 1994. "Large deviations for vector-valued Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 51(1), pages 75-115, June.
    2. Jiang, Tiefeng & Wang, Xiangchen & Rao, M. Bhaskara, 1992. "Moderate deviations for some weakly dependent random processes," Statistics & Probability Letters, Elsevier, vol. 15(1), pages 71-76, September.
    3. Burton, Robert M. & Dehling, Herold, 1990. "Large deviations for some weakly dependent random processes," Statistics & Probability Letters, Elsevier, vol. 9(5), pages 397-401, May.
    4. Singh, Kesar, 1981. "Large deviation probabilities for certain dependent processes," Journal of Multivariate Analysis, Elsevier, vol. 11(3), pages 354-367, September.
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    Cited by:

    1. Ghosh, Souvik & Samorodnitsky, Gennady, 2009. "The effect of memory on functional large deviations of infinite moving average processes," Stochastic Processes and their Applications, Elsevier, vol. 119(2), pages 534-561, February.

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