Convergence rates for probabilities of moderate deviations for moving average processes

被引：30

作者：

Chen, Ping Yan ^{[1
]}

Wang, Ding Cheng ^{[2
,3
]}

机构：

[1] Jinan Univ, Dept Matemat, Guangzhou 510630, Peoples R China

[2] Australian Natl Univ, MSI, Ctr Financial Mathemat, Canberra, ACT 0200, Australia

[3] Univ Elect Sci & Technol China, Sch Appl Mathemat, Chengdu 610054, Peoples R China

来源：

ACTA MATHEMATICA SINICA-ENGLISH SERIES | 2008年 / 24卷 / 04期

基金：

中国国家自然科学基金; 澳大利亚研究理事会;

关键词：

complete convergence; complete moment convergence; moderate deviation; law of the iterated logarithm; invariance principle; moving average process;

D O I：

10.1007/s10114-007-6062-7

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

The present paper first shows that, without any dependent structure assumptions for a sequence of random variables, the refined results of the complete convergence for the sequence is equivalent to the corresponding complete moment convergence of the sequence. Then this paper investigates the convergence rates and refined convergence rates (or complete moment convergence) for probabilities of moderate deviations of moving average processes. The results in this paper extend and generalize some well-known results.

引用

页码：611 / 622

页数：12

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[J]. Acta Mathematica Sinica, English Series, 2008, 24 : 611 - 622
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