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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2007 Volume 52, Issue 2, Pages 209–239 (Mi tvp171)

This article is cited 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

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

DOI: 10.4213/tvp171


 English version:
Theory of Probability and its Applications, 2008, 52:2, 181–208

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