| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1156137 | Stochastic Processes and their Applications | 2009 | 28 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Souvik Ghosh, Gennady Samorodnitsky,