A Large Deviation Inequality for $\beta$-mixing Time Series and its Applications to the Functional Kernel Regression Model

Abstract

We give a new large deviation inequality for sums of random variables of the form $Z_k = f(X_k,X_t)$ for $k,t\in \mathbb{N}$, $t$ fixed, where the underlying process $X$ is $\beta$-mixing. The inequality can be used to derive concentration inequalities. We demonstrate its usefulness in the functional kernel regression model of Ferraty et al. (2007) where we study the consistency of dynamic forecasts.