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Probability, Finance and Insurance
- Publisher
- Springer Journals
- Copyright
- Copyright © 2008 by Springer Science+Business Media B.V.
- Subject
- Mathematics; Mathematics, general; Computer Science, general; Theoretical, Mathematical and Computational Physics; Complex Systems; Classical Mechanics
- ISSN
- 0167-8019
- eISSN
- 1572-9036
- DOI
- 10.1007/s10440-008-9288-1
- Publisher site
- See Article on Publisher Site
Abstract
Let X k =∑ i=−∞ ∞ a i ξ k−i ,k≥1, be the moving average processes, where (ξ i ) i∈ℤ is a sequence of real stationary random variables. Under the assumptions that the large deviation principle (LDP) for real stationary sequence holds, LDP for the moving average processes of real stationary sequence is established.
Journal
Acta Applicandae Mathematicae – Springer Journals
Published: Aug 12, 2008