Moderate Deviations for Stationary Processes
نویسندگان
چکیده
We obtain asymptotic expansions for probabilities of moderate deviations for stationary causal processes. The imposed dependence conditions are easily verifiable and they are directly related to the data-generating mechanism of the underlying processes. The results are applied to functionals of linear processes and nonlinear time series. We carry out a simulation study and investigate the relationship between accuracy of tail probabilities and the strength of dependence.
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تاریخ انتشار 2006