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

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

2007-08-07

arxiv.org/abs/0708.0865v3

Mathematics

Probability

32 pages. We have made some changes in the language and corrected some typos. This will appear in Stochastic Processes and the

Scientific paper

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.

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