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]
< Reduce
Laboratoire de Mathématiques de Versailles [LMV]
Quality control and dynamic reliability [CQFD]
Language
en
Document de travail - Pré-publication
English Abstract
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 ...Read more >
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 modelsRead less <
English Keywords
Deviation inequality
moderate deviations principle
semiexponential tails
weakly dependent sequences
strong mixing
absolute regularity
linear processes
Origin
Hal imported