Moderate Deviations for Stationary Processes

  title={Moderate Deviations for Stationary Processes},
  author={Zhibiao Zhao},
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. 

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