Large and moderate deviations for moving average processes

H. Djellout; A. Guillin

Annales de la Faculté des sciences de Toulouse : Mathématiques (2001)

  • Volume: 10, Issue: 1, page 23-31
  • ISSN: 0240-2963

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Djellout, H., and Guillin, A.. "Large and moderate deviations for moving average processes." Annales de la Faculté des sciences de Toulouse : Mathématiques 10.1 (2001): 23-31. <http://eudml.org/doc/73539>.

@article{Djellout2001,
author = {Djellout, H., Guillin, A.},
journal = {Annales de la Faculté des sciences de Toulouse : Mathématiques},
keywords = {moving average process; large deviations; moderate deviations; good rate function; Hoeffding inequality},
language = {eng},
number = {1},
pages = {23-31},
publisher = {UNIVERSITE PAUL SABATIER},
title = {Large and moderate deviations for moving average processes},
url = {http://eudml.org/doc/73539},
volume = {10},
year = {2001},
}

TY - JOUR
AU - Djellout, H.
AU - Guillin, A.
TI - Large and moderate deviations for moving average processes
JO - Annales de la Faculté des sciences de Toulouse : Mathématiques
PY - 2001
PB - UNIVERSITE PAUL SABATIER
VL - 10
IS - 1
SP - 23
EP - 31
LA - eng
KW - moving average process; large deviations; moderate deviations; good rate function; Hoeffding inequality
UR - http://eudml.org/doc/73539
ER -

References

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  2. [DS89] Deuschel ( J.D.) and Stroock ( D.W.). - Large deviations. Academic Press, Boston, 1989. Zbl0705.60029MR997938
  3. [DV85] Donsker ( M.D.) and Varadhan ( S.R.S.). - Large deviations for stationary gaussian processes. Communications in Mathematical Physics, 97:187-210, 1985. Zbl0646.60030MR782966
  4. [DZ93] Dembo ( A.) and Zeitouni ( O.). - Large deviations techniques and their applications. Jones and Bartlett, Boston, MA, 1993. Zbl0793.60030MR1202429
  5. [HH80] Hall ( P.) and Heyde ( C.C.). - Martingale limit theory and its application. Academic Press, New York, 1980. Zbl0462.60045MR624435
  6. [Hoe63] Hoeffding ( W.). — Probability inequalities for sums of bounded random variables. American Statistical Association Journal, pages 13-30, 1963. Zbl0127.10602MR144363
  7. [IL71] Ibragimov ( I.A.) and Linnik ( Y.V.). - Independent and stationnary sequences of random variables. Wolters-Noordhoff Publishing, 1971. Zbl0219.60027
  8. [JWR92] Jiang ( T.), Wang ( X.) and Rao ( M.B.). - Moderate deviations for some weakly dependent random processes. Statistics and Probability Letters, 15:71-76, 1992. Zbl0761.60023MR1190249
  9. [JWR95] Jiang ( T.), Wang ( X.) and Rao ( M.B.). - Large deviations for moving average processes. Stochastic Processes and Their Applications, 59:309-320, 1995. Zbl0836.60025MR1357658
  10. [Led96] Ledoux ( M.). - On Talagrand's deviation inequalities for product measures. ESAIM: Probability and Statistics, 1:63-87, 1996. Zbl0869.60013MR1399224
  11. [Led99] Ledoux ( M.). - Concentration of measure and logarithmic Sobolev inequalities. Séminaire de Probab. XXXIII, LNMSpringer, 1709:120-216, 1999. Zbl0957.60016MR1767995

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