Exact Moderate and Large Deviations for Linear Processes

Details Exact Moderate and Large Deviations for Linear Processes Exact Moderate and Large Deviations for Linear Processes

2011-11-02

arxiv.org/abs/1111.0537v2

Mathematics

Statistics Theory

24 pages, 1 figure

Scientific paper

Large and moderate deviation probabilities play an important role in many applied areas, such as insurance and risk analysis. This paper studies the exact moderate and large deviation asymptotics in non-logarithmic form for linear processes with independent innovations. The linear processes we analyze are general and therefore they include the long memory case. We give an asymptotic representation for probability of the tail of the normalized sums and specify the zones in which it can be approximated either by a standard normal distribution or by the marginal distribution of the innovation process. The results are then applied to regression estimates, moving averages, fractionally integrated processes, linear processes with regularly varying exponents and functions of linear processes. We also consider the computation of value at risk and expected shortfall, fundamental quantities in risk theory and finance.

Affiliated with

Also associated with

No associations

Rating

Exact Moderate and Large Deviations for Linear Processes does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Exact Moderate and Large Deviations for Linear Processes, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Exact Moderate and Large Deviations for Linear Processes will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-329456