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Teoriya Veroyatnostei i ee Primeneniya, 2007, Volume 52, Issue 2, Pages 209–239
DOI: https://doi.org/10.4213/tvp171 (Mi tvp171) 		 
This article is cited in 1 scientific paper (total in 1 paper)

Large deviation principle for partial sum processes of moving averages

N. S. Arkashov, I. S. Borisov, A. A. Mogul'skii

Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences
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DOI: https://doi.org/10.4213/tvp171
Abstract: The logarithmic asymptotic is studied for large deviation probabilities of partial sum processes based on stationary observations having a structure of the so-called moving averages of a sequence of independent identically distributed random variables. The problem is studied in the case of attraction of these processes to a fractional Brownian motion with an arbitrary Hurst parameter.
Keywords: partial sum process of moving averages, fractional Brownian motion, large deviation principle, Cameron–Martin space.
Received: 08.04.2005
Revised: 22.05.2006
English version:
Theory of Probability and its Applications, 2008, Volume 52, Issue 2, Pages 181–208
DOI: https://doi.org/10.1137/S0040585X97982955
Bibliographic databases:
Language: Russian
Citation: N. S. Arkashov, I. S. Borisov, A. A. Mogul'skii, “Large deviation principle for partial sum processes of moving averages”, Teor. Veroyatnost. i Primenen., 52:2 (2007), 209–239; Theory Probab. Appl., 52:2 (2008), 181–208
Citation in format AMSBIB
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    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
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