A Bernstein type inequality and moderate deviations for weakly dependent sequences
RIO, Emmanuel
Laboratoire de Mathématiques de Versailles [LMV]
Quality control and dynamic reliability [CQFD]
Laboratoire de Mathématiques de Versailles [LMV]
Quality control and dynamic reliability [CQFD]
RIO, Emmanuel
Laboratoire de Mathématiques de Versailles [LMV]
Quality control and dynamic reliability [CQFD]
< Leer menos
Laboratoire de Mathématiques de Versailles [LMV]
Quality control and dynamic reliability [CQFD]
Idioma
en
Document de travail - Pré-publication
Resumen en inglés
In this paper we present a tail inequality for the maximum of partial sums of a weakly dependent sequence of random variables that are not necessarily bounded. The class considered includes geometrically and subgeometrically ...Leer más >
In this paper we present a tail inequality for the maximum of partial sums of a weakly dependent sequence of random variables that are not necessarily bounded. The class considered includes geometrically and subgeometrically strongly mixing sequences. The result is then used to derive asymptotic moderate deviations results. Applications include classes of Markov chains, functions of linear processes with absolutely regular innovations and ARCH models< Leer menos
Palabras clave en inglés
Deviation inequality
moderate deviations principle
semiexponential tails
weakly dependent sequences
strong mixing
absolute regularity
linear processes
Orígen
Importado de HalCentros de investigación