Title of article
The effect of memory on functional large deviations of infinite moving average processes
Author/Authors
Ghosh، نويسنده , , Souvik and Samorodnitsky، نويسنده , , Gennady، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2009
Pages
28
From page
534
To page
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
Long range dependence , Long memory , Moving Average , rate function , Speed function , Large deviations
Journal title
Stochastic Processes and their Applications
Serial Year
2009
Journal title
Stochastic Processes and their Applications
Record number
1578072
Link To Document