Linear response and moderate deviations: hierarchical approach. I
Boris Tsirelson

TL;DR
This paper develops a hierarchical approach to establish the Moderate Deviations Principle (MDP) for a new class of random processes, extending understanding from sums of independent variables to more complex stationary sequences and potentially random fields.
Contribution
It introduces a novel hierarchical method to prove the MDP for a broader class of random processes, advancing the theoretical framework.
Findings
MDP established for new class of random processes
Approach shows promise for application to random fields
Extends understanding of moderate deviations beyond independent variables
Abstract
This is basically a polished presentation for Sections 1,2 of arXiv:0801.1050. The Moderate Deviations Principle (MDP) is well-understood for sums of independent random variables, worse understood for stationary random sequences, and scantily understood for random fields. Here it is established for a new class of random processes. The approach is promising also for random fields.
Peer Reviews
No public reviews on file for this paper yet. If you reviewed it on a platform where reviews are public (OpenReview, ICLR, NeurIPS, ICML), you can paste yours below so the community can read it here.
Videos
No videos yet. Explain this paper in a talk, walkthrough, or lecture? Add one.
Taxonomy
TopicsProbability and Risk Models · Stochastic processes and financial applications · Financial Risk and Volatility Modeling
