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)|
|Number of pages||14|
|State||Published - Apr 1 2008|
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty