Abstract
We obtain asymptotic expansions for probabilities of moderate deviations for stationary causal processes. The imposed dependence conditions are easily verifiable and they are directly related to the data-generating mechanism of the underlying processes. The results are applied to functionals of linear processes and nonlinear time series. We carry out a simulation study and investigate the relationship between accuracy of tail probabilities and the strength of dependence.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 769-782 |
| Number of pages | 14 |
| Journal | Statistica Sinica |
| Volume | 18 |
| Issue number | 2 |
| State | Published - Apr 2008 |
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty