The effect of memory on functional large deviations of infinite moving average processes
Probability
2008-02-26 v3
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
Cite
@article{arxiv.0708.0865,
title = {The effect of memory on functional large deviations of infinite moving average processes},
author = {Souvik Ghosh and Gennady Samorodnitsky},
journal= {arXiv preprint arXiv:0708.0865},
year = {2008}
}
Comments
32 pages. We have made some changes in the language and corrected some typos. This will appear in Stochastic Processes and theor Applications