The effect of memory on functional large deviations of infinite moving average processes

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dc.creatorGhosh, Souvik
dc.creatorSamorodnitsky, Gennady
dc.date2007-08-07
dc.date2008-02-26
dc.date.accessioned2026-07-07T09:22:50Z
dc.date.available2026-07-07T09:22:50Z
dc.descriptionThe 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.
dc.description32 pages. We have made some changes in the language and corrected some typos. This will appear in Stochastic Processes and theor Applications
dc.identifierhttps://arxiv.org/abs/0708.0865
dc.identifierhttp://arxiv.org/abs/0708.0865
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/155518
dc.subjectProbability
dc.subject60F10, 60G10, 60M10
dc.titleThe effect of memory on functional large deviations of infinite moving average processes
dc.typetext

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