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Moderate deviation principles for moving average processes of real stationary sequences

Author

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  • Dong, Zhi-shan
  • Xi-li, Tan
  • Yang, Xiao-yun

Abstract

Moderate deviation principle (MDP) is introduced in this paper. Based on the general condition that MDP for real stationary sequences hold, we mainly discuss MDP for moving average processes of real stationary sequences.

Suggested Citation

  • Dong, Zhi-shan & Xi-li, Tan & Yang, Xiao-yun, 2005. "Moderate deviation principles for moving average processes of real stationary sequences," Statistics & Probability Letters, Elsevier, vol. 74(2), pages 139-150, September.
    • Handle: RePEc:eee:stapro:v:74:y:2005:i:2:p:139-150
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    References listed on IDEAS

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    1. 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.
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    Cited by:

    1. Florence Merlevède & Magda Peligrad, 2010. "Moderate Deviations for Linear Processes Generated by Martingale-Like Random Variables," Journal of Theoretical Probability, Springer, vol. 23(1), pages 277-300, March.
    2. 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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